That is an ash catcher.
It is a special type of slide that is meant to keep ash and bits of scorched weed out of the main chamber of your water-pipe, keeping it MUCH cleaner and allowing the pure flavor of the weed to pass through rather than nasty bongwaterstank.
You all know what a PITA it is to properly clean a bong. The ash-catcher makes that a MUCH easier chore that you don't have to do NEARLY as often.