UCI Engines can be added or removed using the + and - buttons.
As an example, we could use StockFish which can be downloaded from http://www.stockfishchess.com/
When the engine is downloaded and unzipped we can add it using the + button and then select the executable. Lizard Chess takes a copy and will then use it to carry out analysis.
Note that you can download multiple engines and then choose which one to use by selecting it in this dialog.
The Depth settings specify at what depth the engine should start and stop analysing.
The logging option specifies all messages from the engine go to a text log file. This is only useful if there are problems with the engine.