This is a Japanese puzzle game where you have to lead a small stick through a maze. If you touch the walls of the maze it makes a really annoying sound (many different sounds are available).
This is called an "iraira bo", roughly a "makes you irritated"-stick. It is based on a similar element in a Japanese game show on TV (which had a much bigger stick). I never made it through the whole maze, but I did get a bit farther than in the video below.