It's a pressure switch. When you turn the wheel away from the center dead zone the power steering pump builds pressure in the line to help you move the wheels (this is power steering) Of course this requires power input via the PS belt into the PS pump. The pressure switch is there to send a signal to the ECU when the pressure comes up so the ECU can kick the idle up a notch to prevent the engine from bogging when you turn the wheel while you're stopped, like in a parking lot for instance.
It's not that big a deal, just means your engine might bog for a second when you're doing 3 point turns or parallel parks. When the engine bogs the ECU will detect it and give a little more throttle anyways, it just won't happen pre-emptively like it does with the switch connected.
For those of you with working switches, for fun you can monitor the switch activity with a logger, in the diagnostics parts of the logger program, or you can sit parked and turn the wheel a little side to side and watch the tach kick up when the switch activates.
The stuff on the engine generally grounds thru the engine. Like the alternator and PS pump pressure switch for instance.
