The Explorer shows all the other players that are playing in the music. You can change their audio settings (like Volume and Balance), but the functionality mostly used is the Solo and Mute options. Use the Solo option when practicing so that you can play along with the guitar part. Once you have learnt the piece, then Unmute another player (perhaps the drummer) and then play along with the accompaniment with everyone else Muted. The Explorer also shows all the Bars, so if you need to jump straight to a particular section (like a Solo or Chorus) it is possible to navigate straight there with a single click.
VST Effects can be loaded into GuitarSharp to explore different sounds. This can be just for directly playing the guitar into them to enjoy the possible software effects and tweaking them, or using them to alter the in-built sounds. If you don't wish to use the standard audio samples that come with GuitarSharp, then you can output the audio signals to MIDI for external devices or other music software to process the audio instead.