Free lay means, that you can lay a player while he has set- or breakpoint, because the odds already went to the value it would be, if the player won the set or game. If the player wins the set, you can trade out without loss and without risk. In close matches, or tiebreaks, you can't see this odds movement. Here the odds will drop after winning the set.
Example: Yung-Jan Chan - Lindsay Davenport
At the end of the second set Chan was leading 5-4 and had one set point. I backed Davenport at 1.33. Davenport made it to 5-5, but didn't break by herself afterwards. At 5-6 I traded out with minimal profit, but without any risk.
Back Davenport 10€ @ 1.33
Lay Davenport 10€ @ 1.29
Profit: 0,40 € (4% ROI)