Python is a programming language. It's used for many different applications. It's used in some high schools and colleges as an introductory programming language because Python is easy to learn, but it's also used by professional software developers at places such as Google, NASA, and Industrial Light & Magic.
If you're curious about finding out more about Python, start with the Beginner's Guide to Python.
If you find Python installed on your system but don't remember installing it, there are several possible ways it could have gotten there.
That depends on where Python came from.
If someone installed it deliberately, you can remove it without hurting anything. On Windows, use the Add/Remove Programs icon in the Control Panel.
If Python was installed by a third-party application, you can also remove it, but that application will no longer work. You should probably use that application's uninstaller rather than removing Python directly.
If Python came with your operating system, removing it is not recommended. If you remove it, whatever tools were written in Python will no longer run, and some of them might be important to you. Reinstalling the whole system would then be required to fix things again.