I don't understand the usage of console. And why do I need to learn how is the console working.

The GUI is the Graphical User Interface. You cannot do everything through the GUI. Even if you do almost everything with the GUI, you will need to use the command line for some things.

Compiling Sass and using Compass are two things that come to mind that you need to use the command line for. Git is also much easier in the console than anything I have seen.

You do need the console in Windows to install some programming features. Many things can only be completed in the console. The reason why is based on the development of computers. In the late 70s and early 80s everything was command line as GUI was in its infancy. GUIs of all types really just take what you want to do and translate it into commands and Windows can still run in DOS through the console. If you are going to program, you need a basic understanding of the console even if you do not use it on a day to day basis n

Ted's answer is exactly right, and if you're curious why a front end guy would need to learn the console, look at lessons here on Gulp or Grunt. These are things that can be run on windows, linux, or mac. There are also console emulators for windows with add ons that can give you the commands you'd expect from a mac or linux back.

The GUI is we create and delete folders, has all the icons for different things all in a bunch of different windows, is that correct?

The windows has a console, its just used in batch commands rather than bash/unix commands, which is what this course teaches. I have a virtual machine running linux which I use for console only things.