cdn_firm.exe :
    Use this the first time you use rxTools.
    It will generate 'firm' directory, containing files necessary for the toolkit to work.
    (for N3DS, you need to provide your own encrypted 'firm' file!)
    Once successfully generated, copy 'firm' to your rxTools directory.

msetdg.exe :
    Use this to downgrade your 'System Settings' app in sysNand.
    This is gives access to previous patched entrypoints but on firmware versions higher than 4.5.
    (such as various 'DS profile' exploits)    
    Once you've choosen your region, the 'msetdg.bin' file will be generated,
    copy this to the root of your sdcard.
    Once you downgraded the app, this file will automatically be deleted.

(This file is originally written by Roxas75)