This clever little part "locks" any classic K'NEX rod into a connector, to reduce the possibility of the joint becoming broken.
It is generally used where rod/connector joints are under higher-than-usual stress eg in the Son of Serpent coaster and the K-Force series of sets.
To use the rod lock:
1. Join a rod to a connector, as usual.
2. Slide the rod lock onto the rod, with the orientation shown in the photo.
Then, finally:
3. Slide the rod lock so that it fits snugly over the place at which the rod fits into the connector.