What is it?
Let's first be clear on the term 'exploit'. As you may know, software already active on ones' system may be vulnerable. That is, certain known and particular vulnerabilities may be exploited during the first phase of a cyber-attack.
Saying that the system is exploited means that the attacker was successful. Zero-day exploits refers to succeeding attacks on (only just) known unpatched vulnerabilities, usually misused on a large scale.

Once an attacker has exploited ones' system, he typically infects the computer by dropping some malware (ransomware) on the computer.

Anti-Exploit shields applications from disk and memory-based exploits.

Why do I need it?
To prevent software from being exploited, patches and updates are installed regularly. To protect against zero-day exploits, you should use a proper Anti-Exploit solution.

How to (not) use it?
Typically, you would want to use Anti-Exploit solutions to work in parallel with an Anti-Virus product.

But be careful to not use multiple Anti-Exploit solutions on one system. Since Anti-Exploit solutions dive deep into the kernel to analyze behaviour of malicious acts and/or data they may collide in certain techniques and tasks, making your system unstable.