As others have explained that is the thermocouple, which is the flame failure device.
It needs holding in for 30-90 seconds after the stove is lit so that fuel can flow until the thermocouple is hot enough to stay open on its own.
The fuel drops into the bottom of the stove, near the "L" shaped plunger, which is vigorously pulled in and out and twisted at the same time occasionally, to clear burnt crud to allow oil to enter the stove.
If you take out the catalyst, turn the regulator to setting 2 and press the thermocouple overide, you should see oil entering and gradually flowing over the floor of the stove.
When the pool of oil is about the size of a 50p piece, release the thermocouple overide and add 2 capfuls of meths to the pool of oil.
Put the catalyst back into position and drop a lit match in and wait until the flames begin to die off.
Press the thermocouple overide for 30-90 seconds, then release it. The stove should stay lit.
After 15 minutes turn the regulator to the desired position (usually between 1&3) and away you go.
It is an easy DIY job to change the thermocouple if necessary.