A yeast starter (in case you didn't know) is simply a small amount of beer wort with a packet of yeast thrown in. You leave it until it's fermenting well (anything from a few hours to a couple of days) then stick it in your main batch of wort.
Here are a few links that go into a bit more detail!
Using wort from the boiler to make up a starter
Some discussion about starters and problems with them
More discussion and a good link to an illustrated guide
So why should you bother?
Well, although just chucking a packet of yeast on top of your wort will work, using a starter helps to reduce the lag time, that is the time between pitching the yeast and fermentation actually starting. During this time, the yeast is adapting to it's enviroment and multiplying rather than turning sugar into alcohol. By allowing the yeast to multiply or simply adapt to its new surroundings in the starter bottle (in the case of a small starter made on the day), you reduce this time, reduce the risk of infection from unwanted micro organisms and help ensure a healthy fermentation.
How do I make a yeast starter?