It's actually a ground drain wire. On some amps there's a small ground terminal (separate from the power ground terminal) and you're supposed to connect one end of the small wire to the amp, and the other to the chassis of the head unit to help avoid ground loops. However, most new amps don't have the terminal, and I've never had any problems from not using the wire. It's also commonly used as a remote turn-on wire, and it will work fine for that too.
You can buy female-female RCA couplers just about anywhere, but you're probably better off just getting a longer RCA cable.