You should read http://www.mattcutts.com/blog/canonical-link-tag-video/ it is basically an html tag that tells the search engines (yahoo, google, msn and ask) which is the original source of the content you published, it was created to help the duplicated content problem.
It is actually not a link that you click on. It is a <link> tag telling you the source of something. And in this case, this tag just tells you the main source of the duplicate content. You can use this to fix,"www" and "non-www" urls, "/" and "/index.html", issues with tracking IDs, session IDs, and more.