I think it's called a "mudwrap," and was used for Foxhunting on muddy days to keep the tail clean. Do a web search, and I'm sure that there is a YouTube site somewhere with instructions.
Be very, very careful when wrapping a tail. You can cut off the blood supply to the dock and end up killing it - the tail hairs will fall out.
Avoid using them for extended periods, and only if you have a very good reason for doing so. Keeping the tail flat is not a good enough reason.