It's a free widget that fits four icons into the space of one normal icon, letting you put an incredible 64 apps and shortcuts on a single HTC Sense home screen.
To use it, simply long press an empty area on the home screen, tap Widget, and select Multicon from the list. Then just tap on any of the four placeholder icons that appear and choose your desired app/shortcut. You can also leave any icon space blank (if you don't want/need all four) or fill it with a wireless toggle or an "edit mode" shortcut.
When you want to change a particular icon, you can do so via the shortcut or by launching the app (not the widget) and tapping the "Edit widgets" button at the top. In edit mode, which is recognizable by the shaded squares that appear behind each icon, you can tap the icon you want to change and select a new one from the list. To exit the mode, just uncheck the "Keep widgets in edit mode" at the top of the apps/shortcuts list.
If you've already run out of room on your home screens, then Multicon is a fantastic way to reclaim some of that space.
Thanks, Nate & Grey!