Exhaust Gas Recirculation (EGR) System Cooler
WARNING: This page does not describe the selected car, but rather 8 other vehicles, including the 2006 Ford RV Cutaway, 2006 Ford Pickup, 2006 Ford F550 Super Duty, 2006 Ford F450 Super Duty, and 2006 Ford Econoline. However, it is still accessible from the selected car via links, so may be relevant.
The exhaust gasses are directed through the EGR system cooler to remove heat before the gasses arrive at the EGR valve. Engine coolant is used to reduce the exhaust gas temperature by directing coolant flow through the EGR system cooler.