Ralackk: It should help your cursor/bullets hit things easier without you having to be as precise with your aim. This is assuming it actually works in the PC version of this game and isn't just a left over from the console version.
meudoland: IN FACT I DONT SEE ANY HELP ON SHOOTING, ENABLING OR DISABLING IT. MAY ANYONE CONFIRM THIS OPTION WORKS FOR CONSOLE BUT NOT FOR PC VERSION?
I think we can assume it works in the console version, since pretty much all console FPS games have that feature to compensate for the imprecision of stick controls. The best way to test in-game would be to find a relatively still or slow, straight-moving target, save the game there, and try two things: slowly pan your aim across it and look for jumps, then fire some shots over its shoulder and off to either side. Reload and try testing various shots with and without auto-aim.
I'd suggest robots since they stand still, but I bet auto-aim doesn't work on non-hostiles. Actually, a face-down corpse (sleeping zombie) might work as a still test case [but for similar reasons, a negative would not be conclusive].
Personally, I always turn off auto-aim; it can actually be detrimental when you need to lead a moving target (not an issue here) or get headshots (quite important here), the latter since it usually homes in on center of mass. Actually, even more important would be shooting guns from perps' hands . . . in fact, auto-aim might help with that.
Given that last point, a final test: in the mall level, if you're quick about subduing the first two looters, the four in the shop itself don't alert, and the one facing the main door doesn't move until you get close enough to trigger his dialog (in fact, I think he'll stay put even if you shoot the other 3). You could save a game there and line up a shot just off of his gun, and see if auto aim makes that a hit.
In any case, I encourage you to play with auto-aim off either way; PC controls are precise enough that it's not needed, you can take more pride in your shots when you know you made them, and why risk getting unhelpful assistance?
Also, a gentle suggestion: avoid all-caps, it's easier on the eyes. :-)