It's a ferrite core. Ferrite is small iron particles formed in a resin mould, and it is used to make high-frequency transformers and such.
Winding the USB lead through the core like that is to stop radio-frequency interference. Not sure whether they're trying to stop interference getting out of the lead and affecting your radio/tv or whatever, or whether they're trying to stop interference getting into the lead and affecting your data transfer between GP32 and computer. Possibly both, because the core will help both cases.