Binaural sound feeds each ear a slightly different frequency, and your brain perceives the gap between them. The idea is that this gap nudges your brain toward a certain wave pattern, making you feel calmer or more alert.
Small studies show some positive effects, but they're usually mild and don't show up the same way for everyone. A good chunk of the benefit probably comes from sitting still with a steady sound and actually paying attention to it, not the frequency trick itself.
So it's not magic, but it's not nothing either. You do need headphones for it to work at all, since the whole effect depends on the gap between your two ears, which disappears on speakers.