The Depth of Field (DoF) preview button is a hangover from old film cameras. It is a small button located under the lens-release button. Here is how it works.
When you are looking through your viewfinder (and therefore out of the lens) the lens is 'resting' at its widest aperture, regardless of what ever aperture you or the camera has set. When you press the DoF preview button the aperture closes to whatever is set. For example, say you have set an aperture of f11, when you press the DoF preview button the aperture closes to f11. You will notice that when you do this the image that you see through the viewfinder will become darker, as a smaller aperture (high f-number) allows less light through.
As I mentioned at the beginning this is a hangover from old film cameras. It allowed photographers to preview the depth of field, helping get the shot right first time. With digital cameras it is now a bit redundant. We can get a better preview of the DoF by taking the shot and looking at it on our large bright LCDs. Personally it is not a feature I use much myself, but I do know people that like it. It is a matter of personal preference. If you find you are not using it you might like to consider remapping the button to do another, more useful function.