It removes air from your cooling system, and yes it is necessary. You don't want excess air pressure causing improper coolant flow.
You can burp it by opening it up at the highest point in the system. Luckily ours is easy to get to. It is the largish bolt that is in front of the intake manifold and above the water pump with black tubes leading up to it. Just open it up and let coolant start coming out, close it back and refill from your cap. It will relieve pressure, if any, and cause less of a air pocket. There will still be some air obviously, but it will be less pressure is the key.