For this feature you need to have a CI job from a source control branch to a Salesforce org (excluding scratch orgs). Once selected, this will run a validation from any PR against the Salesforce org selected.

You can see the result of this validation either in Gearset or your Git provider. To find it from Gearset, locate the CI job from the Continuous integration dashboard, and select the expand arrow on the right.

You can see a list of open PRs will the related validation result next to each. As well as the option to re-run the validation.

To find it from your Git provider (In this example GitHub) go to the open PR, and expand the checks.

If the option Validate pull request targeting the source branch is not enabled, Gearset will not run the validation automatically. Instead, there will be an option given to users to run the validation manually.