Basically matey that thing is incase you loose your key fob. If you enter the car with the car key in the door lock the alarm will go off and you wont be able to start the car.
To overcome this u use that 'thing' to enter a code to disarm the alarm.
You should have a code in the clifford alarm documents (thats if the guy u brought the car gave u them!!) something like 4128.
To enter that code u need to press the button 4 times, then press enter, then press it once, then enter, then twice then enter, and lastly 8 times and enter!
Thats all its for, i cant remember for sure which button is the enter button, i think its the one with the star on.