New DSLR owner, what is a lens filter and why do I need one?

I'm brand new to DSLRs and just got a new XTI. My hope is that I'll someday be able to take some nice sports and campus photos at my university. In the mean time, I'll probably be asking some very basic questions so please bear with me.

Based on advice I received, I didn't buy the kit lens for the XTI but instead got the 17-85mm IS Lens. I noticed others recommending this filter for it:
http://****/yat4zq

Why do I need it and is there cheaper solutions? Not the cheapest new hobby to have I've discovered.

Any other suggestions for a brand new XTI owner? I've already ordered the "Understanding Exposure" book from Amazon.

Slightly disappointed that the semi-hard Canon case I purchased for the camera won't work with this 17-85mm lens. I guess that makes sense though since it's designed for the kit lens. Any recommendations there would also be appreciated.

it will cut down haze a little but in real life iv found it almost inposeble to see any diffrence at all, my main reason for useing a filter is to protect the front element of the lens for my genral shooting ,i use cheapish one's however i do take it off if the shot is quite inportaint to me ,take the shot then put it back on again , a lot of my work is taken close to the sea / sand .
Rob.

That s not a bad choice for a filter for your new investment. The filter will protect your glass from anything distructive

As for something to haul all your new investment around, Here is some ideas for you http://lowepro.com/Pro​ducts/