Interchanges in U.S. railroad terminology refer to tracks joining two railroads that were an official hand-off point for trading cars destined for the other railroad. Cars at an interchange track between railroads A and B could be empties heading home (which were usually handed off from railroad A to railroad B as soon as possible so railroad B paid to move it), or loaded freight cars going to an industry on the other railroad or a railroad further in that direction (which were usually handed off by railroad A to railroad B as close to the destination as possible so that railroad A would get paid for a larger fraction of the total freight fee). Interchanges could be several tracks in a yard-like configuration near a well-maintained railroad crossing, or could have been as simple as a weedy spur joined by short track to both railroads.
Interchanges in SwitchList are just yards that are explicitly set up to only serve either empty freight cars from another railroad or handle full railroad cars intended for a (real or imagined) industry whose on that railroad. You indicate the owning railroad by setting the "division" for a freight car, industry, or yard. (Whenever you see "division", think "owning railroad"; I just used the term "division" when I first wrote SwitchList because another program I was using used that term.)
For example, on my Vasona Branch layout in the download, the WP Interchange yard handles a real interchange track between the Southern Pacific and Western Pacific. This track is a suitable exit for empty WP boxcars returning home, and it's also a suitable place for any boxcar carrying cargo intended for a WP customer to exit the layout. I indicate WP Interchange's special status by setting its division to "WP", and stating that the yard "accepts divisions" (will accept cars going to) the "WP" division. All the WP freight cars have their division set to WP. I could also have specific imaginary industries in staging in the WP division, though the Vasona Branch example only directs cars to the WP Interchange as if it were just another industry. With this setup, empty WP boxcars go to the WP interchange (unless they get to the San Jose Yard first, which is assumed to have other ways to get WP boxcars home). There's also some cargos intended for the WP interchange explicitly that will go there as a potential destination.
Divisions for Cars and Industries to learn about using divisions to set the destination for empty cars.
User Interface: Yards to learn how to specify a yard.