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This MSDN article compares a few of the various allocators exposed by Win32, including CoTaskMemAlloc. It's mainly used in COM programming--most specifically when the implementation of a COM server needs to allocate memory to return back to a client. If you aren't writing a COM server, then you probably don't need to use it.
(However, if you call code that allocates memory using CoTaskMemAlloc and returns it back to you, you'll need to free the returned allocation(s) using CoTaskMemFree.)
CoTaskMemAlloc is same as malloc except that former is used to allocate memory which is used across process boundaries.
i.e., if we have two processes, process1 and process2, assume that process1 is a COM server, and process2 is a COM Client which uses the interfaces exposed by process1. If process1 has to send some data, then he can allocate memory using CoTaskMemAlloc to allocate the memory and copies the data. That memory location can be accessed by process2.
COM library automatically does the marshalling and unmarshalling.