Purging - The removal of gaseous nitrous from the pipes prior to using the system. You need liquid nitrous at the solenoid but the hot engine bay will turn the nitrous in the pipes to a gas so this has to be vented off.
Watch nitrous equiped cars at the start line and you will notice a white gas being vented in spurts. This is the nitrous gas being removed from the system.
Rant alert:
Some people seem to consider this looks cool but, of course, I don't
Looks like 'look at me, I'm cool as I have nitrous.' If and when I fit my kit, the purged gases will be directed at the intercooler so it does some useful work rahter than just vented to the outside.
Rant over
Re anti-lag, Jarrus and Sleeper seem to have the basics covered here:
http://www.torquecars.com/forums/f118/what-anti-lag-how-does-work-21112/
With regard to the legality, that depends on where you live.
In the UK, it is legal providing you have informed your insurance company and they have added it to your policy. Other countries have different rules.
What is interesting, and shows that legislators often haven't a clue, is that the EU regards nitrous as a fuel! EU laws prohibit running two fuels at the same time which would make nitrous illegal! I guess electricty isn't classed as a fuel or the regs have been changed to allow it
I do take issue with Jarus, however, with his view that nitrous is best used for anti-lag.
A turbo car fitted with anti-lag will be blown into the weeds by the same car fitted with a decent nitrous system. The quick turbo spool up will be far outweighed by the extra power provided by the nitrous, assuming, of course, that the turbo is big enough to handle the extra power.
If your turbo is being used at its maximum capacity adding nitrous will only work as anti-lag.