When you made a request via a domain name, it first looks at your machine's DNS settings to see if that is capable of telling the IP address of the domain. if not, then it goes to your network level and see if there is a DNS server who can tell you the IP address of this domain.. if not it goes to your ISP level.. etc etc..
If you deliberately specify where to look for the IP address of a domain, instead of looking at all the places, it will straightaway check with that server.
As example, if you specify 8.8.8.8 (google) it will straightway goto 8.8.8.8 server and get the target IP.
The security vulnerability in this is, a hacker's DNS server can tell you a wrong IP. as an ex: if you typed facebook.com, it can tell you a IP of his server instead of the correct facebook server IP address. and he can show you a website which is made very similar to facebook. you cannot identify this. so, you will enter credentials and he can steal your login.. or any other confidential information..
Even in the first case, where you hv not specified the DNS server, when it checks the IP it sends a DNS request. A Hacker in your network or outside can scan and wait for DNS requests and response with wrong information and point you to a wrong place..
Read more about dns spoofing
Machan, please ask if anything is unclear..