If it looks like the USB adapter included with this radio:
http://www.hobbypartz.com/fs-gt2-24ghz-radio-black.html
then it is simply to allow you to use the transmitter as a gamepad (similar to an xbox controller or a PS2 controller) on your PC. The little 3.5mm plug goes into the DSC slot on the transmitter. Not sure if extra drivers are required for the USB or if Windows already has them.