Using the hyperfocal distance to focus your lens for the appropriate aperture will result in the maximum depth of field for your shot. It's often used in street and landscape shooting where either fast action (frame, shoot!) or maximum sharpness and depth is necessary.
Most lenses have a depth of field scale on them for some (or all) apertures. They're generally better on wide angle lenses because the depth of field is greater, which allows a better spacing on the scale and more apertures to be shown. In any event, for reasons I won't get into, let's call them "optimistic" by a stop or two (at least when shooting digital or fine grain films and/or for large enlargements where sharpness is more critical).
So let's say you're shooting at f/8 and you want to maximize the depth of field on your M9 (or film camera) and you've got a 35mm lens. The hyperfocal distance for these conditions would be 16.9' (5.14m), which would render everything from 8.5' (2.57m) to infinity in focus. This is the calculated hyperfocal distance created via
DOFMaster tool (very handy!). If you look at your lens scale, you'll see how this lines up and likely differs from what the scale says.
In easier terms and using the scale you've got on-hand - you're shooting at f/8 - but you should use the scales for f/5.6 or even f/4 to give you an extra buffer. Set your focus so that infinity lines up with the right (far) side of the scale for f/5.6 (or f/4).
Without that buffer zone you could end up with infinity or near objects that aren't quite as sharp as you expected them to be. This can be a real downer if you're shooting say, landscapes - only to find out later that they're all blurry in the distance.