Confidentiality is about making sure sensitive information remains private and only certain people can access it. For example, not leaving private information unattended, only available to certain people, have passwords and dispose of any confidential information appropriately. Patient data is often kept anonymous or de-identified (removing names) within projects.
Confidentiality goes both ways, researchers and consumers need to make sure private information stays private. If you are unsure, please ask the lead researcher about what this means for your project.