This is an RSS (Really Simple Syndication) icon. Clicking it will allow to to subscribe (for free) to that site’s RSS feed, which is basically an updated list of site headlines. Here at WindowsTalk, I have my own RSS feed which you can see when you click the icon.
Which RSS feeds would you want to subscribe to?
Well what interests you? News? Weather? Sports? All of these? Then you can have an RSS feed for each of them that will appear in Internet Explorer (or on your Vista or Windows 7 desktop). I recommend ones from authoritative sources; perhaps the RSS feed of a newspaper or magazine you already subscribe to, or a TV or radio channel that you watch (CBC, CNN, etc).
You may have to look hard on some web pages to see the link for their RSS feeds. Often this is because the site would prefer you to visit their pages, so you can see the advertisements that support them. Most blogs feature the RSS link prominently because they want you to be updated with current posts.
By the way, Internet Explorer 8 has a neat new feature called ‘Web Slices’ that are a variation on the RSS idea. See this page for all kinds of Web Slices you can add to IE8: http://www.ieaddons.com/en/webslices/ This would be a great place to start, provided you have upgraded to IE8 (and you should have by now!).
This is by no means a detailed article on RSS, so if you have any more questions, feel free to contact me or post a comment here.