Hej Eric,
first of all I recommend you to read the following link:
it explains more or less everything about the bootloader. However, since this question pops up quite often, let me tell you that the bootloader is a very tiny program (less that 1K) that resides in the memory of your board.
This piece of code "listens" to the serial/USB port whenever you reset your board expecting to get new programs. We use this program because, otherwise, you would need to use an external piece of hardware called "programmer" in order to send new programs to your board. The programmers are quite expensive, and therefore we have made the board work with this trick.
Since you bought a USB board, I bet that Gianluca sent you the board with the bootloader already in your microchip's memory, and therefore you will not need to do anything but start to use your board.
/David