A Squidoo 'lens' is just their word for a topic page or blog. Setting one up is very easy, rather like Hubpages, and you can include all the usual stuff like videos and photos. The more the better, really.
From an affiliate marketing standpoint, however, Squidoo has become less attractive lately. They have very restrictive rules about linking to your domain webpages, and it is easy to get in to a prolonged argument with Squidoo about over-promotional content. But it is possible to win.
A good way around this is to link your Squidoo lens to an article you may have written on, say, Ezines - this article will, in turn, be linked to your webpage or affiliate link. This seems to kill several birds with one stone, so to speak, because the search engines like it and it improves your ranking with the article directories as well as Squidoo.
Hope this helps.