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It holds path settings which point to directories that hold (dynamic) libraries. It's used by ldconfig to create necessary links and cache (man ldconfig for details).
On a slightly deeper level, what is it's purpose on the system - why is it necessary to do that (I'm being told to do this in the context: 'NB:FastCGI installs to /usr/local/lib, so if it isn’t there already you will need to add /usr/local/lib to /etc/ld.so.conf and run: ').
Programs, when dynamicaly compiled, need libraries to run. In general ld.so.conf holds the basic directories where these libs can be found. Sometimes you have to add another line to that file.
Adding it is just half the step, after you add a new line (and/or remove, change order) you need to run ldconfig. ldconfig in turn creates the links and cache so that ld.so/ld-linux.so* (dynamic linker/loader) can find them.
The above is the 'in a nutshell' version. To get a better understanding read the manpages (ld.so, ldconfig, ldd).
The message about running ldconfig is there to let you know that libs are installed in a 'none default' lib dir. 'None default' is debatable, most of the time the libdir mentioned is already in your ld.so.conf file. It is wise to check anyway and when in doubt: just run ldconfig before you continue.
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