Why we use "Symbol” ?and why we downloading at installation while Debugging(WinDbg)?
Whats is the advantage of "Symbol"?

Your question is not clear. Please be more specific. Symbols are embedded in object and executable code until they are stripped, usually in order to reduce the physical size of the file(s). If you have stripped a binary, then you cannot debug it since the debugger (WinDbg in your case) needs the symbols in order to step through the code and show you where you are in the execution process.

when you download and installing Microsoft Debugging Tools you need also right symbols for your operating system and Service Pack.

My questions is?
Whats "Symbols" files actually?Why we need those files when we are debugging?

Why we are using Symbols for Debugging? :)

If you want to debug system files, then you need the debuggable versions of those files (dll's mostly) that still have the source symbols in them. Normally, system dll's don't have those included in that they are "stripped". IE, if you need more information about this, go to the Microsoft VS web site.