This window is an embedded terminal emulator that allows you to work with a command-line shell from inside the IDE.
Clicking on New Session opens a panel containing a new terminal session.
Having a command line right inside the IDE is useful for tasks like running Git commands without having to switch windows or lose mental focus when performing quick command line tasks.
Initially, the terminal emulator runs with the default system shell, but it supports other shells such as Windows PowerShell.
Selecting File > Settings > Tools > Terminal in the main menu allows setting the shell environment as needed.