The Salesforce Data Loader / Apex Data Loader is a client application for the bulk import or export of data. Use it to insert, update, delete, or extract salesforce.com records.
Frequently, you will use the Force.com platform to create applications that operate on data that you already have in some form - in comma-separated variable files, spreadsheets or other relational databases.
The Data Loader is an easy to use graphical tool that helps you to get your data into Salesforce objects. The Data Loader can also be used to extract data from database objects into any of the destinations mentioned above. You can even use the Data Loader to perform bulk deletions by exporting the ID fields for the data you wish to delete and using that source to specify deletions through the Data Loader.
Steps to Download Apex Data Loader :
1. Go to Setup - Administration Setup - Data Management - Data Loader in your org.
2. Click "Download the Data Loader" link to download the data loader.
Reference - https://developer.salesforce.com/page/Data_Loader