They're actually windscreens. Best application would be when you're outside. Why the manufacturers include them is a mystery to me. They mostly come in budget mic kits, and I think they include them to occupy what would be empty space in the case and make the customer feel like they're "getting more product".
I'd never use one while recording. But if you actually want to put them to use, they make a good cover for the mic when the mic is on the stand but not in use - to protect from dust.
Thnx dot for you reply, i had another question that you might be able to answer for me. What are those screens that are put in front of the mics when vocalsits record? it just looks like a circualr piece of netting infront of the mic.
That's to keep the "plosives" such as "P's" and some of the sibilance from "S's" from hitting the diaphragm too directly. Sounds such as "P" can send a blast of air into the mic diaphragm - making the sound sort of pop. Put your hand in front of your mouth and say popcorn - feel the air hit your palm when you pronounce the "P" consonant. You even feel a smaller blast on "C".
Pop filters can also keep condensation from the singers breath from getting on to the diaphragm. Also protects the diaphragm from bits of spit and little pieces of KFC and McD's.