Anyone explain in language for a two year old?
Yeah....
Be a good boy and put that back where you found it.
In more detail :
The formal Microsoft definition definition is that its is
a File system directory that contains Send To menu items. A typical path is C
Users\username\AppData\Roaming\Microsoft\Windows\SendTo.
For my bonus points.... The other fancy way to get there is going start->run (or "windows key" + R) and entering "shell:sendto"
As for how you use it :
Add a destination by doing one of the following:
Use the drag-and-drop operation to move the item that you want to the SendTo folder; to do so :
right-click, and then click "Create Shortcuts Here"
-or-
Point to New on the File menu, and then click Shortcut.
Follow the instructions in the Create Shortcut Wizard.
A new shortcut is created in the SendTo folder, and it is displayed on the Send To menu.
(from Microsoft KB)