It's just a way of accessing certain information or programmes that tend to
run in the background. If you don't have JAWS set to have its own window
open all the time, it will appear in the system tray. Whether its there or
not is really up to your personal preference.

Where is JAWS located? On your hard drive? It should mostly be within
c:\program files\freedom scientific. Though it does leave stuff in several
folders and in your user profile, that's where the main executable files
should be.