As stolzyboy said, the \ is known as an escape character. They tell, in this case, PHP what to do with the following character:
For some characters, it gives them a special meaning. For instance, the \n tells PHP to create a newline, \t tells PHP to create a tab, and \r tells PHP to create a carraige return; without the backslash, these characters would simply be treated as an n, t, and r, respectively.
For other characters, it strips away the special meaning. For instance, the " (double quote) has a special meaning in PHP: it tells PHP that this is either the beginning or the end of a string. Putting this escape character in front (\") tells it to ignore the special meaning and treat it as a normal character. This is also true for the ' (single quote) and the / (forward slash). You should also note that if you want to output a backslash, you have to escape it, too: \ !
These 'rules' apply to most any programing/scripting language, including JavaScript, Java, C++, Perl, and of course, PHP, just to name a few. Hope that answers your question!
PS- These can get even more confusing, if you are trying to pass some characters to javascript as characters! For instance, if I want to create an alert box with the text "Hello, World", I would need to escape the characters in the JavaScript like so:
alert("\"Hello, World\"")
If I wanted to take this a step further and use PHP to put this in the page, my new PHP code would look something like:
echo "alert(\"\\"Hello, World\\"\")";
This could go on even further, but I think that you get the idea! Also note that knowing when to use the single quote and the double quote characters can significantly reduce the amount of escaping that is necessary, as well as making your code MUCH clearer!
