The Palette allows you to complete the sudoku using only your mouse. There are three types of tools in it. When you click on a tool, it becomes your current tool.
First are the digits. When one of these is selected, clicking in a cell of the sudoku will place that digit there.
Second are the small digits with a ± preceding them. When one of these is selected and you have Pencil Marks turned on, clicking in a cell will turn a specific pencil mark off or back on.
Finally is a selection of colors. You can use these to change the background color of a cell which may be useful in keeping track of things.