Dump Valves are usually found on engines with turbo's added to them. They are usually located between the Turbo outlet and the throttle body. When changing from a turbo boosted state to an off throttle state (for example in between gear changes) the turbo continues to attempt to pressurise the inflow of air, however as the throttle is closed, this prevents the compressed air from entering the engine.

When this happens the build up of pressure exceeds the default spring pressure setting inside the dump valve and the excess pressure is dumped by the valve, hence the name dump valve.

So basically they are just a way of building up large amounts of pressure that can power your engine and then dumping it all at once when you don't need it.

You will be surprised just how simple this device is, very few working parts yet provide such an important part to a high powered turbo engine.