When you've marked all the mines around a square, you can uncover all the squares around it because you know that there aren't any mines there. While you could click each square around the square separately, there's an easier way: just click the square that has the number in it, and the computer will automatically uncover all the squares surrounding it. If the any of the mines are wrong, however, you will probably lose, unless you've allowed mistakes. If the number of mines you've marked around a square does not equal the number of mines there actually are, it doesn't do anything, but the squares surrounding the you clicked will blink, which could be helpful to some people.
You can also do a similar thing with marking mines: if the number of covered squares matches the number of mines surrounding the square, you can right-click or shift-click to mark all those mines. Note that these will always be correct, since you can't incorrectly uncover a square without knowing about it.
You can also uncover or mark lots of squares at the same time, using the Uncover All and Mark All commands. These are similar to clicking or shift-clicking every numbered square, respectively. However, if you're trying to get a good time, you should avoid these commands, since they add 10 seconds to your time. (Note that you can't solve every Minesweeper game using only these commands.)