It is a graphic user interface with which you can connect to a MySQL Server running on your computer. This is very similar to SQL Server Management Studio for Microsoft SQL Servers. There are some common features but you can only use it with MySQL server. You can create database, tables; run queries; create stored procedures; etc. The present version is 6.0.9 and you can download an msi file from here:
you may need to register.
Here is what it looks like:
I have connected to MySQL server installed using XAMPP using two Local\NamedPipes and Standard TCPIP. You can access all the shortcuts on the right to interact with various MySQL related resources.