The complete set usually includes a fly mask to cover the eyes and ears, a rug for the body, and boots for the legs, all made from thin mesh that's still breathable.
It's a big deal because horses can easily get bitten by flies and mosquitoes or end up with skin irritation when bug season hits hard, just like now.
The mesh is woven tight enough to keep bugs out, but still lets air through so the horse doesn't overheat.
Light colors like white or grey are often picked on purpose since they reflect heat and can also make it harder for bugs to land properly.