Is this a puncture protection thing?
That is a tire liner. 

I think http://sheldonbrown.com/flats.html is good reading on the topic of liners / flats in general - in particular, he generally doesn't recommend them (and I don't either). He also claims that if they're improperly installed, they can increase the frequency of flats. If you are prone to flats and you've eliminated improper installation, maintenance and riding (pinching the tube, improper inflation, bad rim tape, going down curbs the wrong way, etc.) - by this, I mean the environment forces the flats (such as certain types of thorns, etc.), you may want to invest in a tire with additional puncture protection (like the Bontrager hard-case tires) which eliminates the improper installation issue or thornproof tubes (these are thicker tubes, so thorns only go in partway, and you can pluck them out of the tires), but these all add unnecessary weight (and a bit of expense, and often some more noise) for most people (i.e. people who live outside areas such road hazards exist in reasonable frequency). Otherwise, just get a normal tire and tube and maintain it properly (install rim tape properly, inflate properly). And you should always have a patch kit on hand anyway (and/or a way to get home).

There are also products like Slime - a sealant that goes in your tube and is supposed to patch up punctures. Some mountain bikers swear by it, I think it just causes a mess.