You can save or import a swatch library (or graphic styles, or brushes, or symbols) from the flyout menu on the side of that palette.
When you choose 'open swatch library' from that menu, you can scroll down to 'other library' to browse for an illustrator file that isn't saved in the library folder in your illustrator installation.
So, let's say you've designed a CPO that you've made a load of custom swatches for, and now you have a new document for a marquee that will use the same colour scheme - you can load your CPO file from the swatch palette of your marquee file and instead of opening up the CPO, it'll just open up the swatches you used in the CPO file as a new swatch palette. You can just use those swatches from that window or drag the ones you need into the main swatch palette for your new document to save having to keep reopening the CPO 'swatch library' every time you work on the marquee.
Same deal for symbols/brushes etc.