an ND (neutral density) filter is used to reduce the amount of light entering the lens therefore allowing longer exposure times for an equivalent aperture (so you can control the depth of field whilst allowing motion blur).
leaving one on all the time is going to be counterproductive unless you only shoot rivers and waterfalls
I think you are referring to the common use of a filter on the end of a lens for protection of the lens end element. These filters are usually a UV filter, a skylight filter (1A or 1B) or a clear protection filter (although it probably has anti-reflective coatings on it). There's already lots of threads discussing the pros & cons of these, try doing a search.