MESS is an emulator; the acronym stands for Multiple Emulator Super System. An emulator in this sense is a computer program that imitates exactly the behavior of another computer or game system, so that its software can be run on systems other than itself. With emulators you can do things like run C64 programs on your PC, Atari 2600 games on your Mac, whatever. MESS' mission is to preserve historical computer programs (mostly games), most of which are no longer sold, so that future generations can enjoy them long after the machines themselves have stopped working. Being able to use them now is just a nice side effect.
The MESS distribution comes with two versions; a command line version of MESS (mess.exe) and a GUI version (messgui.exe). People familiar with MAME will recognize that these correspond to the command line version of MAME and MAME32 respectively. However with MESS, these are distributed as a single package.