If this script happened on an onclick or onsubmit event, then no return or returning true will indicate that the browser should take the default action for the link/form. So, if you had an onclick handler like:
<a href="http://www.google.com/" onclick="window.location = 'http://www.yahoo.com/';">
Then the browser will go to Yahoo, then see that it should execute the link's other action (navigating to Google). When you indicate return false;, the browser knows not to execute the next/default action.
<a href="http://www.google.com/" onclick="window.location = 'http://www.yahoo.com/'; return false;">
So, why does return false; make this work?
For any event hander, to return true indicates to continue as normal and to return false means to stop trying to handle the event (prevents default handling and stops propagation), though there are arguments against using return false;.