normally it refers to kernels. an insecure one is basically a kernel that will give you root access. Installing one of these will allow you to run apps that require root access, and allow you to make proper backups of your handset. you will get a yellow triangle on boot screen which can be removed by a usb jig, or by following the instcutions on xda.
However since cf-root 4.2, these come with the latest CWM and su, so are not as tried+tested as the versions prior.
And no, you wont lose anything.