“Think aloud protocol is a technique applied in user testing where users are asked to vocalise their thoughts, feelings and opinions whilst interacting with a site as they perform a task. While the focus in user testing is primarily on how effectively a user performs the required tasks (and not on how users believe they are performing), verbalizations are useful in understanding mistakes that are made and getting ideas for what the causes might be and how the interface could be improved to avoid those problems.” [The explanation is taken from here]
With think aloud protocol you can gather information about how the user uses the application and you will get to the bottom of the reason why your application is interpreted in the wrong way. Maybe it’s the terminology, maybe the user is used to finding certain features in certain places and now they are not there. When the user says out loud what and why s/he is doing you can “read her/his mind” and learn more about your user. That helps to locate the problems of your application and make improvements.