Say what? OK, this is a little advanced but it's kind of cool so I'm posting it. :-)
The user agent is the fancy name for your browser. The reason that it is important is that it tells the web server what kind of browser you're using. Some sites actually will serve different files based on what your user agent is. For example, you Mac users (like me), have you ever been to a software site that offered you the Mac version to download without you having to tell it that you're on a Mac? That's because they detected your user agent.