A winder is a control bone that bends multiple parallel bones by the same amount. It is used in the MHX rig for fingers (a single finger bone bends all three finger links) and for the spine (the back bone bends three or four spine bones). It can also be useful in other contexts, e.g. for male genitals or for ponytails, as was discussed in a previous blog post.
Winders are also useful for rigged hair, but here we often need to create several winders, one for each chain of links. Previously that was rather cumbersome, because the Add Winder tool had to be run for each chain, with the root of the chain active. With the latest update, several bones can be selected at once, and the tool automatically figures out which bones are the chain roots.