can be used to obtain diagnostic information from your modem after an ISP session, or to make test calls to BBS or ISP numbers; it can also be used to get information from your modem about the firmware/driver version installed. Setting it up to talk directly to your modem (as opposed to dialing a service) may not always be intuitive....
First off, hyperterminal is a relatively old program that used to be very useful when testing modems. You could use it to dial numbers, connect to telnet-esque servers and generally check it was all set up and working correctly. If it wasn't, it could help you identify just where the problem was.
Essentially however underneath all it does is stream bytes to a certain output port, so it was also useful for sending raw data to the old RS232 style serial ports (useful for testing devices sometimes or when creating your own hardware.)
This however is all in the past - its uses these days are very infrequent as the old serial ports have died out, broadband has emerged and modems are far more commonly attached to routers than PCs. Even with dial up modems that still exist its rare to use it - they're usually pretty easy to set up without the use of that particular tool! I'm pretty sure XP was the last version of windows to include it by default as a result of this.
Interesting piece of history, but it's not that useful for most functions these days.