I'm not an expert on graphics cards, so this is mostly "what I gather", but here's my understanding of it.
SLI allows for parallel processing between Identical GPU's. What it does is allow multiple graphics cards to communicate between themselves, instead of GPU 1>CPU>GPU 2. Without SLI, you can span video across multiple monitors, hooked up to both cards. When using two different cards, like I do, there's a lapse in moving a video from one monitor on GPU 2 to my main monitor on GPU 1. This is because the buffered video is in the GPU's cache, and needs to be transferred to the new GPU. The GPU owner's manual should give you the proper configuration as far as hooking up monitors goes.
I heard that SLI is also supposed to help performance, but being too poor to afford multiple good graphics cards, I can't confirm this yet.