It's a "patella strap." Links below for your reference. Do a little research before blindly strapping some gadget onto your knee. If you have no previous problems, don't try to fix something that ain't broke.
As far as method of doing so, athletic tape works, but a "pro tip" i've seen in the past is actually to use panty hose. Cut the bottom out of the panty hose, and then roll it upwards (on your leg, obviously) until it makes a donut shape. This is much more flexible than Athletic tape (also you don't have to deal with the pulling-out-of-leg-hair problems that you would with AT).
Hope this helps.