What is this exercise known as? And how does it help?

That is a squat, try to do them consistantly as in regularly so as to build up strength inth those sore places. Don't over do it. start out doing five or so, and work up to say 10. But dont go for more than 40~50 untill you have been doing them for a month or so. Matt Furey calls them hindu squats and has arm movements that go along, but he will advise that you bust your *** and "work through the pain" but seriously dont be too hard on your self.