As the name suggests, IR is Infrared.
an IR filter filters out Infrared. This is commonly used in DPSS style lasers, where you have a pump diode (often Infrared) and a crystal that converts it into other wavelenths. The other common one are diode lasers, your violet (405nM) and red (650nM) that is.
most common is green (532nM), there are more expensive and rare ones (473nM for example), but the general idea is to filter out IR output of the laser, and pass only the visable wavelenth. Most common IR pump diodes operate at 808nM, and out of the crystal for the greens I think its converted to higher IR (1064nM) and then finaly doubled to 532nM, visable green. (although some IR leaks by the crystal and is in the output to the lens.
also, if you are not familiar, (nM) stands for nanometers, the wavelenth (from zero cross point to the other end, or peak to peak on the sine wave).
IIRC our visable spectrum is around 380nM (UV) to 750nM (low IR).
It is a good idea to get one with an IR filter, as it is better for your eyes. there has been cases where people's green lasers have stoped working, and they could only see a faint red light, while that faint red light is in the order of several hundred milliwatts. Definatly not something you want to be staring at point blank into your eye.
lasers above 5mW should be considered as an eye hazard, and goggles apropriate for the wavelenths are needed.
So its in good saftey to get yourself a laser with one.
I hope that helped you out understand more, but Im sure there are more people here more knowledgable about this then myself.
Also, a good idea is to browse around the forum more, there are quite detailed threads around with very indepth explanation of all these concepts.