How does Private Login work?

Good day,

I opened a ticket about a broken link in the support documentation, but that is a separate issue. This is what I’m hoping to learn:

I’m trying to find out exactly what this checkbox does in the Security section of the admin panel:
Private Login [checkbox here] Disable wp-login.php

If I disable wp-login.php can I set up a different login such as mysite-login.php? Would I put that php file in my theme’s folder? Or does disabling the wp-login.php disable all logins for everyone (which may be used for a site with only a few members)?

What I want to do is change the wp-login to another name such as mysite-login so as to inhibit brute force attacks on wp-login.

Best regards,
Trevor