RE: newb question and i've had the car almost a month.
To expand on Cuda's excellent answer, ESP is an electronic nanny that keeps you from getting too crazy with the car. If it senses you sliding, spinning the wheels excessively, or otherwise making hooligan-like maneuvers, it will apply brakes to individual wheels to straighten the car out, and/or cut throttle response. This is good in that it keeps you from doing something beyond your capability as a driver, and crashing. It is bad in that it limits your fun. So if the situation calls for maximum safety ESP on. Maximum fun calls for ESP off.
A highly trained driver will make faster laps around a track with ESP off. A newb might be faster with ESP on. Know your limits, choose accordingly. For drag racing you'd probably want it off.