It is similar to
close all
in that it makes all the figure windows disappear. It is different in some fundamental ways that are likely unimportant if you are asking this question. Basically when you close a figure window, you give the figure/GUI a chance to clean up after itself and even prevent you from closing it. When you delete a figure you don't give it this chance.
An explanation of the components of the command are that 0 is the root MATLAB graphics object. It is the parent of all "figures" including GUI interfaces. The command get(h, 'children') gets the children of object h, so get(0, 'children') gets the children of the root object. The DELETE is pretty self explanatory.
