The fringes that are tied to the prayer shawl are placed there to remind people of the covenant they have with God. SO the prayer shawl is really something one wears to carry these fringes!
This is special string is used by some according to traditional to make the fringes. It is dyed with a special blue dye. This "TECHELET" fringe material comes in the orignal blue color, and includes instructions about how to properly tie and knot the fringes and attach them to a prayer shawl according to Hebrew tradition.