A tracking pixel is a small piece of code your advertising platform gives you. Add it to a short link and everyone who clicks that link is added to your ad account's audience.
In practice this means retargeting. People who clicked your campaign link but did not buy can be shown ads later. It is one of the more efficient uses of an ad budget, because you are talking to an audience that has already shown interest.
The pixel fires in the background while the visitor is being forwarded. There is no delay or visible change for them.