Actually, it's a 'shortcut' to setting some Properties directly after initialization.
Consider this:
Person p = new Person();
p.Name = "Naerling";
p.LastName = "Hell yeah!";
p.Age = 24;
Person p = new Person() { Name = "Naerling", LastName = "Hell yeah!", Age = 24 };
this.AddPersonToPhoneBook(p);
this.AddPersonToPhoneBook(new Person() { Name = "Naerling", LastName = "Hell yeah!", Age = 24 });
Personally I never use this syntax. I have no good reason not to though.