Practically any application supports the use of pen. In apps that don’t have special support for the pen, a tap of the pen is registered as if it was a mouse click, similar to how finger-touch on Windows laptop/tablet/desktop works. In addition to that, pen features that don’t require the app developer to customize their apps to support it, like palm rejection, will also work with all apps.
Assuming it has the same feature set as other N-Trig devices (Acer, Sony, Microsoft Surface, etc.):
Palm Rejection. When the tip of the pen is about 1-2 cm from the screen, all touch input will be ignored
Pressure sensitivity. The harder you press the pen, the thicker the line on the screen. This requires app developers to implement this feature.
Pen Buttons. On apps that don’t have special support for the pen, the buttons will act as right click modifier, that is when you tap on the screen, it is registered as a right click instead of left click. Apps that have the support can customize the function to however their like, usually one is for eraser and the other one is for making a selection.
Features that are NOT supported, once again assuming it has the same feature set as other N-Trig devices:
Tilt. The angle of the pen against the screen describes the drawing on the screen. For example, with the pencil tool, the more youre leaning the pen, the thicker -but lighter- the stroke is on the screen.
As @nawthor and @jimimatthews mentioned, Windows 10 has plenty of apps that are optimized for pen. You can use ink-optimized apps by visiting Windows Ink Workspace (the tiny pen icon on the taskbar). There are some neat tools there as well as suggestion of recommended Windows Store apps that are optimized for the pen.
In addition to Windows Store apps, Microsoft Office (2016 or 365) has inking support for annotation. Adobe Photoshop CC 2015 and up also has support for the N-Trig pen.