Jean, the clicker is a marker for a desirable behavior. That's my one sentence, others can their own.
The pen is for dogs that are really sound sensitive, I think.
Here's a really funny clicker story:
Rafi associates the sound very well with a treat. Well, it just so happens that his treats click too! I carry a dehydrated lamb lung piece in my pocket whenever I'm out with the dogs. Chama is always begging me to give her one and it helps her to keep up so I give her tiny pieces. I break them off in my pocket and every time Rafi hears them breaking off (a clicking sound because they're brittle) he turns to me, begins heeling and looks up into my eyes. So now I don't even have to carry the clicker, I just carry the clicking treats!