This move, making nice shape (see oki wants ikken tobi), captures and simultaneously protects against the placement at a. Any other move would allow Black either to capture two stones or to place a stone at a, connect it and reduce White to one eye.
All in all, this is a familiar line of play. Black can't connect at because of shortage of liberties
Hmmm. This variation is probably even not worth giving. Anyway, it is important for White to answer at .
At first this also seems to work, but the atari at is a wrecking move.