Custom program mode: Depending on your camera, this can go by Custom Mode, User Mode, My Mode, or other monikers. Lots of compacts (film as well as digital), and a number of digital SLRs have this design-it-yourself exposure mode.
Where it is: As usual, anywhere from the obvious to the obscure. Some cameras have it right on a mode dial (convenient); others have it in a menu (inconvenient).
What it does: Stores in the memory the exact combination of settings you make, so you can access them near-instantly on demand.
Why: With digital SLRs, the number of settings that can be made is dizzying -- besides exposure, focusing, and drive modes, there's file format and size, white balance, ISO, color space, etc. Generally speaking, the standard exposure modes (e.g., program, aperture-priority) maintain your settings until you change them. But it's nice, as well as prudent, to have your exact preferences available with one press. The other good use is to store settings for a specific photo task that you do frequently. For example, if you do tabletop shots of your junk...er, vintage collectibles for sale on eBay, User mode is the fast way to set up the camera.
How: Usually straightforward; you go down a list of menu items, make the settings you want, then click OK. But check your manual!