Odd.. you were asking where to find Prime95 and you have no idea what it's for? (and not even looking at the page)
Prime95/GIMPS is a distributed project to find Mersenne primes. so far it has been successful finding about 1 every year, (of course, larger and larger as we go). and there's a prize of $100000 if you found a mersenne prime that has 10 million digits, or $5000 per mersenne prime that's less then 10M digits.
but a lot of people use Prime95 for testing stability issue on OC CPUs, since it'll catch CPU errors that other program couldn't.