This exercise is a Progressive Muscle Relaxation (PMR). PMR involves tensing and relaxing 16 key muscle groups in the body. During the exercise you are instructed to tense each muscle group for a short period of time and then to let go of this tension and experience the feeling of relaxation washing over you. You will probably notice a big difference between the feeling of this muscle when it is relaxed versus tense.
With regular practise this can help you to become more aware of feelings of tension and relaxation in your body overall.