No it's not the same thing as in C. What they try to explain but quite badly phrase is that F# (or OCaml, on which it is based) is lexically scoped, values of non local variables are captured in definitions (so they must exist at that time, but also and more importantly they cannot be changed later because of the immutability by default).

In C you can have a function using a global variable, and change to this global variable will affect the function behavior.