No Idea what this does, but I would like to know 
Also, if you could explain how to connect and use it that would be great!
It senses the presence of a magnetic field. Sometimes, they are used with a magnet on the shaft of a motor to detect RPM without making an electrical connection to the moving parts.
The Hall effect is always present in conductors, but is only significant enough to make a useful measuring device when current is passing through a semiconductor. Basically any current in a magnetic field gets "pushed sideways", and the Hall effect is the voltage gradient that develops to balance-out this push in the steady-state.
Hall effect current sensors just place a Hall-effect chip close to a copper strip that carries the current to be measured. So you have a device that can measure current in a circuit it is insulated from.
Note that these devices will mis-read the current if there is a permanent magnet nearby since they measure the total magnetic field.
Here's some decent looking links:
http://embedded-lab.com/blog/?p=4529
The second link gives a good breakdown of how it works.
Thank you!