You have probably heard about large film studios screening their films. They usually do this for a small section of the public to see their reaction. The public that observes the screening gets to say what they liked about the movie or what they didn't like. In some cases, the film is changed to appease the public.
In some cases, the films are made with alternate endings. This often happens if the film is suspenseful or if the director is not sure what type of ending will suit the audience more. More artistic type films will not make the changes to the ending or have alternate endings as they are not made to appease the pubic as much as they are to make a statement or as an expression of artistic genius.
One such film that was changed after a screening was "Fatal Attraction." In the original version, the character played by Glenn Close slit her wrists with the knife the character played by Michael Douglas picked up when he went to warn her away from his family, thus framing him. The audience hated it.
The consensus of the audience was that the Michael Douglas character suffered enough for the affair he had with "Alex" and the big scene in the bathroom was then filmed as another ending. In some cases, more than one ending is filmed and the reactions are studied by the producer and others in order to see what will be more popular with the public.
If you are making your own movie, chances are that you will have a private screening for family and friends to see what they think. They may have suggestions that will improve the film. The purpose of the screening is to determine if there is anything that you can do to make your film better.
You can have live screenings at a location. In NYC, there are lots of bars or small movie theaters who will screen movies.... but it will cost you to host it there. An alternative way is to post it on Youtube. It's free and people get to view it. Plus you'll get feedback from the Youtube community (just ignore the trolls!).
However, with online screening, you won't get that theater experience. There's nothing like being in a dark room with other movie goers to sense if a movie sequence (or the whole movie!) actually delivers the goods. It's up to you (and your budget) to make a decision on what's best.
After the film is screened, you are then ready for post production, or distribution of the film.