The factors, or explanatory variables, are variables that may be related to the response variable. You are trying to model the response with the factors.
When you press the button, you are prompted for the factors if factors have not already been specified. You can also specify or change the factors by selecting 'Change' and then 'Factors...' from the Locals pull-down menu, or by selecting the keyword 'Factors:' in the body of the main window. Either of these actions brings up a list of the variables in the data set that are not currently serving as the response.
Note that the classes, or classification variables, are a subset of the factors. You may change the classes independently of the factors, but frequently after selecting factors you are prompted for which of the factors should be considered classes.