AMD CPU with Liquid Cooling

While browsing New-egg I stumbled across a CPU with included liquid cooling. I thought it came at a very cheap price for what It does, and I think I want it in my first Computer Build. I do not understand liquid cooling at all, could someone please explain it to me and how it would effect me if I were to purchase this part?

Newegg.com - AMD FX-8150 Zambezi 3.6GHz (3.9GHz/4.2GHz Turbo) Socket AM3+ 125W Eight-Core Desktop Processor with Liquid Cooling Kit FD8150FRGUWOX

Sorry about the quality of this post, its late.
Thanks in Advance!
-Vorix