that icon is for the safe removal of hot swappable devices, such as your modem. hot swappable means that you can switch the device (unplug it) while the computer is running. this is usually used for usb and firewire devices, so if your dsl modem is, windows is going to automatically pop up this app in your toolbar.
you may never use it, but it's there anyway. it's really for schmucks like me ^_^ who work with 6 external drives and have a corporate office that is unwilling to buy more firewire cables. it allows me to switch drives without a reboot...which is very, very nice...considering a reboot would take 15 mins.