The new window icon is found to the right of any link that, when clicked, will open in a new window. We would usually advise against specifying that links should open in a new window because it can be confusing for people browsing your page. However, there are some occasions when it's useful to have links open in a new window. To mitigate any confusion, the icon is added to inform users in advance that this is what will happen when the link is selected.
The icon is added automatically to any link that you've specified should open in a new window once the page has been published.