The multi-task bar on your iPad, iPhone, and iPod touch allows you to access all the applications the running on your device. It allows you to shut down applications, jump to other applications, access your music player controls, and so on.
To access the multi-task bar you double-tap on the home button. You should then see your multi-task bar. Slide your finger to the left or the right to see all the applications that are running slide your finger to the right to see the mute or orientation lock button, the music player controls, and on the iPad you can also see the volume control and the brightness control.