Making a center-pull ball of yarn makes the yarn a little bit easier to deal with so that it's not rolling all over the place or fighting with you as you try to knit from it.
It's easy to make a center-pull ball yourself. First you need to get the yarn skein situated so that it will not tangle while you're working with it. This can be accomplished with the help of a yarn swift, by putting the yarn on the back of a chair, or with the use of another person's hands.
Once the yarn is in place, get ready to wind by folding the ball band into a narrower tube and threading one end of the yarn through it. You could also use a piece of a paper towel or toilet paper roll, card stock or any heavyish paper you've got lying around.