What do Neutral Density filters do?

Neutral Density filters allow you
greater control over how much light enters your camera.  Limiting the
amount of light entering your camera allows you to shoot long exposures on a
tripod, over time any moving element in the photo will blue (water, clouds,
etc), this provides a sense of movement in a still image.  You can also
limit the amount of light entering your camera for greater control over depth
of field (subject in focus, blur the background).  With less light you can
shoot at lower apertures, this would be impossible on a bright sunny day
without an ND filter.