The Research window serves two highly useful functions. The first, your Knowledge Base, has to do with kernels and research. Enemy robots often drop Kernels as loot and kernels can also be found via Exploration. These objects may seem a little strange at first, but don't throw them away. They are extremely valuable to developing one's knowledge about the alien technologies.
There are two uses for freshly looted kernels. The first one is to sell them on the market; there may not always be a buy order up for the kernel you've found (or at a price you find acceptable) but chances are you'll be able to post them at a reasonable price for a nice income. The other alternative is to research the kernel yourself. Right-click on the icon of the alien kernel, and choose research.
Also remember to invest EP in dedicated research tree skills; without the proper level, you'll be unable to unlock the tech regardless of having enough RP or not.
Also, if you are trying to get a certain knowledge of a specific type of weapon, collect kernels of the associated race (eg. laser weapons = kernels of the Thelodica Clan).
The purpose of research is simple: if you unlocked by "purchasing" the researched item, you are then allowed to produce that item in the Prototype facility. If your aim is to become a master of industry, try to extend your knowledge as much as you can!