A segmented run is a speed run or other videogaming record attempt which is attempted in several non-consecutive pieces or segments.
The clear advantage of doing a segmented run instead of a single-segment run is that you can attempt any given segment multiple times - and, for some games, you can attempt them in any order - and put the best results together to construct the final run. This enables dangerous tricks which might be unthinkable in a single-segment run to be attempted repeatedly until they work.
This obvious advantage means that segmented runs are almost always ranked separately from single-segment runs.
In general, for games with very rigid and obvious save locations - such as GoldenEye 007, which saves automatically every time you complete a level - the "segmented run" is all but meaningless. Instead, each "segment" (level) is considered as a separate, independent single-segment challenge.
However, games such as Metroid Prime, which is open-ended but allow you to save whenever you reach a save point, or Half-Life, which allows you to literally save and load anywhere, raise a different question: how many segments should you have? In Half-Life the number of segments can be practically infinite, meaning Half-Life runs can theoretically be optimised frame-by-frame, like a TAS. Generally for situations like this, a time penalty is added for each segment to discourage overuse of quick-saving and -loading. This theoretically enables all runs, regardless of segment count, to be ranked alongside each other.