Your car has a cooling system, it will be filled with a mixture of antifreeze and water.
Anti Freeze is quite simply water with chemicals added to it to stop it from freezing.
The water needs to flow around the engine, see the below diagram...
<img src="http://masterautotechllc.com/wp-content/uploads/2012/08/car_cooling_system_diagram.jpg" alt="Diagram of cooling system on an engine" />
If the water is frozen in the coolant system, then this can cause problems. You will know this normally by a squeeling noise from your engine. (although not to be confused with a loose fan belt as that can make a similar noise, but the noise will come from the same place as the belt will slip on the pulley if the water pump is frozen)
Coolant is often Red or Blue so if your coolant is clear it's probably mainly water.
If you over heat a few miles from home then the radiator is probably frozen, you should stop and let the radiator to thaw.
Personally I get the antifreeze changed at each yearly service as well as a coolant system flush, this is a cleaner that is put in with the coolant and then driven a little bit. It cleans in the insides of the pipes to make sure the coolant system is flowing correctly.
Some antifreeze you can change every couple of years or longer, it depends which you're using.
In winter you should use a 50-50 anti freeze / water mixture.
Check your coolant level when the car is cold and don't open the coolant reservoir when the engine is hot, it's under a lot of pressure. You can press on the wing of the car and "bounce" the car to show the level more clear in the tank if it's not that clear to see.