The technical term is "wind screen". It reduces the sound created by air flow across the microphone. A wind screen amy also cause some attenuation to high frequency sound. It has limitations, so it is still very important to measure background sound before measuring the sound of interest. As a practical matter, I leave the wind screen on, even indoors, for bump protection for most measurements.
When you are measuring outdoors particularly or in say near fan exhausts, this is ,mandatory. Even standards specify the wind velocity at noise measurements should not exceed 7m/s (? ISO 3744).