What exactly is this? The booklet that came with my mp3 didn’t say anything about it? Does it update the mp3 player in some way or add a program to my computer?

firmware is like the operation system on the player. Just like they update windows from 2000,ME,XP to vista, they can update the software on the player for whatever reason.

With the sansa firmware udpater, it loads a program on your computer, and everytime you connect your player to the computer, it connects to a server to see if there is any updates available. If there is, then it tells you and shows you how to update.