The command bar is used to execute Lua code in Roblox Studio. You can type in a snippet of Lua, then press the return key to run it. Any errors will be visible in the Output.
It is typically used to run scripts while the game isn't running, or to access functions that would raise an error in regular scripts.
Setting up the command bar is easy. First, in the toolbar, click View. In the submenu that pops up, click Toolbars. In the next submenu that pops up, click Command if it is not already checked.
You should now have a command bar that looks like this: