Once you select a segment, it will be added to your segment phrase. Clicking on the "+" will add additional criteria that a User must match in order to be included. These statements will be separated by ANDs, meaning the User must match each of them.
Sometimes you may want to add multiple values for the same segment with "OR" phrases. To do this, click the smaller “+” button next to a value (e.g. for the segment Country is “US”, click on "US", then click the "+" next to “US” to add “CA” as a second choice).