This feature will pop up automatically once a platform is properly configured and a supported device is connected to the computer. Since things can go wrong at many levels (platform may not be configured correctly, SDK may be incorrectly installed, device may be improperly configured, etc.), it's good to let the user know that it exists.
Some platforms (at the time of this writing, only Android) can detect when a USB device is connected to the computer, and offer the user to automatically export, install and run the project (in debug mode) on the device. This feature is called, in industry buzzwords, "One-Click Deploy".
- Configure device (make sure it's in developer mode, likes the computer, USB cable is plugged, USB is recognized, etc.).