Well, I have never actually used it, but I would suppose it would delete temp, history and log files, other system crap, and files that have never been opened or have not been opened for a long time... you could also backup your files and run Purge... but if you don't need to run it, just ignore it.
Well, as I said before I have never used the Purge command so I didn't know exactly what it does, I was just guessing in the last response but I have now found some information on what it actually does here. It purges old files from any given folder... all you need to do is right click on the folder you want to purge while holding the shift key, if the command prompt isn't available in the mouse context menu, add it as per these instructions
Once in the command prompt windows indicating the path to the specific folder, just type PURGE and hit Enter... the folder purge is supposed to begin. Nothing happens in my system so I can't tell you what follows... what I can tell you is you can use applications that do the same thing and let you have better control of what is deleted. Clean Drive is one of such applications, it's a standalone portable application so no installation is necessary and it deletes hard to delete files as far as I can tell. Try it for example on the C:\WINDOWS\Prefetch folder which is hard to empty of useless files.