A vehicle splash shield is a protective piece of plastic or metal that bolts under the car or truck and covers the bottom of the engine and the components in front of the engine as well. It's primary purpose to prevent dirty water, rocks, dirt, and other debris from getting kicked up into the engine compartment and possibly causing damage or corrosion to steel components. The most likely reason you would need to change this item is either because it was damaged by a rock or debris while driving, or during maintenance, it was removed heavy-handedly and sustained some damage near the mounting points. If the damage is small, you may not even notice anything and as long as it stays mounted up relatively flat, it usually isn't a problem. However, if you hear scraping while driving or just going up driveway or over speed bumps, it could mean a piece of the splash shield is hanging down too far and scraping the road. When this occurs, it's a good idea to have it replaced as soon as possible.
The splash shield in most modern vehicles is made from a heavy duty plastic since it's less expensive to produce and easier to replace. There are some vehicle that have a metal one, but those are mostly used on off-road specific vehicles since they are prone to rocks and debris more so than a passenger car.
Replacing a broken or missing splash shield will prevent further damage to more sensitive components in the engine compartment and it will also prevent a heavier buildup of dirt and gunk over time. If yours is just hanging loose, that can be considered a safety hazard for other drivers, so it's important to have it replaced in that instance as well. Car Parts Discount has splash shields available for a number of different vehicles at the lowest possible prices.