The diesel particulate filter (DPF) has a pretty dirty job, it sits in the exhaust system and catches and stores soot that's produced from diesel engine combustion. They have become essential in diesel cars since Euro 5 emissions standards were introduced in 2009. It's actually illegal to remove a DPF from your car and the fines can be pretty hefty.
Given the average size of a DPF there's no way that it can hold all of the soot generated between service intervals. So to get around this they have a 'regeneration process' whereby the soot is periodically burned off. The ECU will decide when this needs to be done and will start the process without any driver intervention. If this process doesn't complete you'll often see the orange warning light (see image below).
When you see this it's vital to take the car out for a good run (ideally a motorway run) to give it chance to run the regeneration process. Running the car with this warning light on for months and not allowing it to regenerate can lead to significant engine problems and costs.
DPFs can cost into the thousands so maintaining yours is very important, especially on older cars where the replacement cost could easily write the car off value wise.
5 Symptoms of Diesel Particulate Filter (DPF) Problems