The Jesse Tree is used to help tell the story of the Bible, from Creation through the Christmas Story. Similar to an Advent Calendar, every day during Advent, a special decoration is hung on a small tree (or a picture of a tree) to represent one of the stories of the Bible.
For more information about the Jesse Tree, Loyola Press has some great information: http://www.loyolapress.com/our-catholic-faith/liturgical-year/advent/the-jesse-tree
Family Activity
Here are some great ways to make your own Jesse Tree - complete with Bible Stories and ideas for each story's ornament:
Why Christmas - Stories and Ornaments
Catholic Culture - Jesse Tree Instructions
Catholic Icing - Readings, Ornaments & Printables