A library will allow you to have data/files saved in folders at different locations (ex: HDD's) to save HDD space on your Windows partition/drive, then be able to include that folder in a library of your choice. This lets you to be able to access data/files from all these different location in the one library folder location with them actually still saved in the different locations.
Think of being able to play, delete, etc.... all of your say documents that are saved in various locations in your Documents library. It could be very helpful indeed.
The link below and all of the "Related Tutorials" links at the bottom of the tutorial can help give you more details and information about libraries and the options you have with them. Libraries - Personal and Public User Folders
Hope this helps,