Both Windows Media Player and iTunes do volume leveling, but the leveling is only effective when the tracks are being played through the respective player.

If you copy your files out to a USB stick, a SD card, MP3 player or whatever, there is no volume leveling information that is transferred with it.

So when you pop that SD card into your car and you start driving, depending on your album selection, you may have to be adjusting and readjusting your car's volume.  Especially annoying if you have the tracks mixed up.

In comes MP3Gain.  This program will rewrite your music files while adjusting the volume that you specify across all the albums.  That way your original files remain untouched and your exported files are adjusted to your liking.