The concept is pretty simple:

You (can) build your level(s) in WED. The "Map Properties" allow you to attach a (single) script to your level, usually your main script. WED will now scan that script automatically for functions called "actions" so they will appear in the action selection on the "Behaviour" tab next to the "Properties" tab which appears on the left side of the vertical toolbar when you click an entity. (This means that you can and have to change your action names there, i.e. in SED/ the script file.)

Your quoted action realizes a framerate dependent rotation around the z-axis because that is what pan does: http://www.conitec.net/beta/aentity-pan.htm
For more information, open (for example) the online manual and search for Engine Objects (and then ENTITY).

my (and you) are pointers that each function (usually only with actions) can use to manipulate certain entities. When you now assign rotate_plane to one or multiple entities in your level, the action will be started on level initialization (immediately after level_load) and the my-pointer will be assigned to each appropriate entity and saved and restored by the function scheduler (or similar) each frame.