Entry Point Context refers to a context (or page) from where testing could possibly begin. In any web based application, there could be one or more (static) URLs from where you typically start testing, like Home Page, Search Page etc. You can designate one or more Contexts as "entry points" so your test scenario can start by initializing browser with the URL corresponding to the entry point context.
You can set a Context as an Entry Point either during creation process or in the Context side bar after it is created. You will need to provide a URL in case the context is Entry Point. Note that the URL can be parameterized as required.
At least one Entry Point context must exist in your Universe to setup a valid Scenario and execute.