I need help understanding what a p45 does?

i came over from new zealand to the u.k to work under a tier 5 working holiday visa, at my first job i had no n.i number so i was on emergency tax, after i left that job i travelled for a bit then returned to work for the same company (Mitchell's and butlers) but in a different location but i had a n.i number. not until 6 months later have i heard that i can reclaim tax or that i should have a p45. how do i get one, what does it do, and am i in the wrong for not having one?