This is WAY too advanced for me. I really have no idea what that does.
Not really. You just haven't heard of it that's all. A "Linux Live CD" is just a bootable CD with the Linux operating system on it, and a few programs like web browsers, email client, editor etc..
When you boot it up it does not access the hard drive on your PC. It totally runs in memory. For that reason, malware can't infect your hard drive. Of course you can't really save any downloads either. But I guess if you wanted to surf a site you thought might have some real nasty malware on it, this might be one way of making sure it can't erase your Windows folder or delete your disk partitions or other vicious pranks.
Most Linux Live CDs like this have Firefox browser on them. It's pretty much the same as surfing the web in Windows. When you start to use editors and other programs Linux gets a bit different though. It takes some getting used to.