When you click once on the step forward, it advances a single frame. When you hold it down, it advances through the frames as fast as it can draw them while ignoring the sound track.
This is a good way to find out how close a movie is to the limit of what your given computer can play. If holding down the button speeds it up a small amount, you are near the limit of your computer's playback performance. If it doubles in speed, your particular computer can handle movies with higher frame rates, screen size, or sound depth.