This is a common library pattern we see today and at first it struck me as odd. It took a while to understand what was happening.
First, This is a self executing function that passes in a function. Let's first look at the construct before we look at the actions.
// Self executing function that takes no arguments.
(function () { 
    // Some code here.
})();
// Self executing function that takes an argument.
(function (argument) {
     alert(argument);
})("Hello World");
// Self executing function that takes function as argument.
(function (factory) {
   // Self executing. Executes as soon as the script is loaded.
   // At this point, factory = the function below.
})(function (param) {
   // Not self executing! Must be called.
});
Now that we understand the construct of what is happening here, let's look at this code:
// If there is a variable called "define", and that variable is a function, call that function with the paramenter jQuery and pass it the function. This is how we define a library in RequireJS.
if ( typeof define === "function" && define.amd ) {
    define( ["jquery"], factory );
} else {
    // This is how we define the jQuery library everywhere else in the world. We pass the global window.jQuery into the function.
    factory( jQuery );
}
So all together now,
// Define jQuery.
(function (factory) {
    // If using RequireJS, define jQuery by calling the define function with the jQuery factory.
    if ( typeof define === "function" && define.amd ) {
         define( ["jquery"], factory );
    } else {
        // Otherwise, just call the jQuery factory.
        factory( jQuery );
    }
}(function ($) {
    // Use JQuery or $.
});