It's another way to save your data--I don't think many people use it, though.
You can just drag a cell/range to the desktop and later double click on that
scrap object file to open up that saved version of your workbook.
It also works with MSWord--where it might be more useful. You can highlight a
range/sentence/paragraph and drag it to the desktop. Then double click on that
scrap object and just the copied range will be brought back.
Here's a link describing the MSWord version:
WD: What Is a Scrap (.shs) File?
http://support.microsoft.com/kb/138275/en-us