Modern Warfare 2, as with most of the recent Call of Duty games, supports full multiplayer cross-play and cross-progression on all platforms. This allows players to party up together, and matchmake against each other.
For one reason or another, however, some would prefer to play only with players on their own platform, which is where the option to disable cross-play comes in. Except, it's only available on PlayStation at this time.
Though this might seem like another sneaky PlayStation-exclusive feature, the ability to disable cross-play has actually been available on other platforms in previous years. Though it often arrived late on Xbox, and would sometimes disappear and later return.
At the launch of Modern Warfare 2, however, it appears only players on PS4 and PS5 can turn off cross-play. The toggle, which is typically found under Account & Network, simply does not exist on PC, or Xbox - as spotted by Eurogamer.
This may simply be a bug, or the feature could have been turned off to manage server loads in the early days. Until then, Xbox players looking to turn off cross-play will need to do it through their console's system settings, which will obviously affect all other multiplayer games.
As for why anyone would want to limit their player pool by turning off cross-play, the reasons vary per platform. Console players may see mouse and keyboard as offering an advantage, or they may want to rid their lobbies of cheaters, should that become a problem. PC players, too, can feel at a disadvantage when playing against controllers' heavy aim assist.
If you don't see what all the fuss is about, or you're too busy playing to care, you should probably read this guide for how to quickly level up your weapons in Modern Warfare 2, and the best modes to grind in those early days.