The short answer.
It's part of your exhaust that helps clean out exhaust fumes. It usually has a sensor right after it (or in it) that monitors how it's doing. I think in newer cars it can help with the hairair to gas mixture if your car is running lean or running rich.
You dontdon't necessarily need it but if you do happen to remove it you should at least add some regular exhaust pipe to take its place. It will help with noise and back pressure .