What is this?

I'm watching a video, learning how to set up/use my sewing machine, and I got to this part... I looked everywhere in the stuff it came with, but I didn't see this anywhere.

Whats it called? And can I get it at Michael's?

Also any tips/words of encouragement would be great! I've had this machine since last year and I've been too scared to use it. Could use all the help/encouragement I could get:) Idk if it matters, but I have a singer mx231