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 I use the most is the Solo and Mute options. When I am practicing I will usually select myself to play Solo so I can just play along with my guitar part. But once I have learnt the piece I can then add in another player (usually the drummer) and then play along with the accompaniment with everyone else Muted. The Explorer also shows all the Bars, so if I need to jump straight to a particular section (like a Solo or Chorus) I can navigate straight there with a single click.
VST Effects can be loaded into GuitarSharp and I love using these guitar software effects to explore different sounds. This can be just for directly playing my 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 music software to process the audio instead.