The cooler is a specially made barracks building. It is created to put inside for a certain period of time, mainly 30 days, prisoners who are either disobedient or have made escape attempts, no matter whether they have been either unsuccessful or have been successful but the prisoner is later recaptured.
During the series, a major plot point would have one of the prisoners sent into the cooler where he would later help with that episode's particular mission as one of the tunnels under Stalag 13 led directly into the cooler's rooms.