bootmgr is the boot manager.
It's not a data file, it's the program that boots your PC
It's what displays the boot menu since Vista.
It calls the boot loader, winload.exe to load the kernel into core.
In XP the functions of manager and loader resided in a single module, NTLDR.
Since Vista the two functions were split, the loader residing inside the Windows\system32 folder, but the manager remains in the root where the MBR IPL can locate it.
Read the first link in the sticky, for a nice tutorial on how it all works.