That is just one of many ways of communicating to the ESP(ESP-01?) from a PC… in order to flash firmware or setup AT settings like BAUD. It is a USB to Serial adapter.
You can even use the Arduino itself… but the TX pin will put out 5v and many insist that the ESP’s RX pin will not last long at that voltage (normally 3.3v) but that is debatable… and resolvable with things like a simple voltage divider or level shifter circuit.
Meanwhile, here is one of many posts about the whole ESP as shield issue…