From the directory listing:
The new Windows Phone companion app (shown below) is designed to work exclusively with Nike+ Kinect Training for Xbox 360 (above) and access all your console activity from the phone. You can explore workouts, track progress, connect and cheer on friends, prep for upcoming exercise sessions, and more.
It's important to note that the companion app does not have allow you to do any of the training programs - you will need to do that in front of your Xbox console at home, but everything else is available, including details of when you need to be in front of the Kinect enabled Xbox to do the next set of exercises.
More details can be found on the Official Windows Phone blog.