I'm new to GIS and when I was looking in my data directory I saw
What is that and how is it useful?
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The *.prj file is part of the Shapefile format which is consists of other files:
In a word, the *.prj file informs on the coordinate reference system in which the geometry coordinates are expressed. It is used by GIS software in particular when data with different CRSs are used. You can still work without this file, in particular if all your data is in a well-known CRS, but it is not a very good practice.
There are other uses of the .prj file, it doesn't 100% have to be associated with a shapefile, however that is certainly its origins. Within ESRI packages, a .prj file could also be used to:
Other systems may also be able to use the .prj file as a reference for the coordinate system.