Generally it means that you do not identify with a particular religious sect. It may also mean that you do not believe in the organized supernatural ideas that most religions do.
Exactly, but that doesn't tell us if you're actually religious or not! You may or may not have a personal religion. That's why I found it weird in this case, where the while point of the survey was to know if people are religious.
IMO, religion is something organized and part of a community. "Spirituality" is when it's something personal (and, as I get older, I am coming to believe is an important part of my life, even though I don't believe in anything supernatural.)