The Windows Clipboard File is used to store the contents of the clipboard to disk for future use. When you cut-and-paste to clipboard, that information is temporary; like a post-it note that can only be put in one place at one time. This file allows you to keep the data you cut-and-paste in a .clp file.
This download allows you to have a spot for the things you might want to use again, eliminating the tediousness of repeatedly going back and retrieving former data chunks. When you are going back and forth between applications it's a good thing to have a file like this to use with the Windows clipboard. It also keeps your information when you shut the computer down, and enables you to share clipboard contents with other users.
This does have some limitations in the size of the item you are storing but its simplicity also gives you less trouble with importing and exporting. Sometimes a low-tech approach is a good thing when all you need is a box to put stuff in.
If you don't want to mess with Microsoft's new versions of clipboard because yours works just fine and you just need a file to put your clippings in for next time, then the CLP - Windows Clipboard File is what you want.