Windows.old folder appeared after Windows 10 Anniversary Update
The Windows.old folder contains the files from previous OS or version, and is used when the user wants to rollback to the previous OS or Windows 10 version. This folder automatically clears in ~30 days after you upgrade to Windows 10.
If the folder was created when you installed version 1607 (Anniversary Update), the folder might be removed automatically in 10 days.
If Windows doesn't clear the Windows.old folder for some reason, you may remove it it manually using Disk Cleanup (cleanmgr.exe - run as administrator), and clearing Previous Windows installation files.
Recovering data from Windows.old
If you find some of your settings are lost after upgrade, you should be able to recover the program specific data files from Windows.old (ProgramData and AppData folders). Move everything you need, to a different folder outside Windows.old before clearing it out.
I'll add a couple details since the other answer is missing them:
Yes the Anniversary Update causes a Windows.old folder to be created. These folders will be created whenever you update to a new "major version" of Windows that you may want to rollback from. If I recall correctly, the last update before the AU that created such a folder was the Threshold 2 update.
You actually only have 10 days to roll back this one; not a month.
I believe the folders only contain important system files that have changed since the last major update. If you don't plan on rolling back, it should be able to be safely deleted. I'd poke around it first if I were you since it's been awhile since I looked in mine. If it's just the typical contents of the "windows" folder, you should be safe. If it contains a "users" or "documents and settings" folder, I'd go through them.
I just checked my windows.old folder, and it appears that it's a copy of the structure of the root of the drive. It contains "users" and "program files" folders, but all the subfolders of "users" are empty, and the copied program files appear to all be Windows related programs. Considering the copied "users" folder is only 107mb (compared to the actual "users" folder that's 16.8gb), it seems to be a fairly superficial copy, so it should be safe to delete. It would also barely take up any space if you wanted to make a backup of just that folder.
For anyone else reading this... do not be tempted to manually clear out this folder using takeown and deletion. In my experience, it contains "links" from Windows.old to other areas of your system.