Using autoguiding enables higher quality and longer exposure images of deep space objects like Nebulae. By aligning your telescope to a star using a guide camera and some software, the telescope with track whatever thing you're looking to image in the night sky. I have yet to perfect this craft as it requires some specific hardware (equatorial mount, guidescope, guiding camera, etc) that I either don't have or don't have setup correctly yet. Hey, its a learning process with the astrophotography stuff.
I found a
fantastic guide of how to prepare to autoguiding from Astrobackhard.com.
Take a look if you're trying to setup autoguiding for astrophotography.
If you're using celestron gear like myself (Nexstar 8se telescope),
here is a great video tutorial to setup autoguding with the Nexstar series.