Because who and what we do are common questions, a short answer might help. Please visit the Q&A page of St. Clare's Fraternity in Nebraska for answers to even more questions about the Secular Franciscan Order (SFO).
Before I explain "what" the SFO does, let me explain "who" the SFO is.
Originally known as the Brothers and Sisters of Penance, the SFO is the third order created by Saint Francis. Therefore, the SFO is the third religious branch of the Franciscan family calling secular men and women (anyone not having professed a religious vow, which can include diocesan priests) to go from Gospel to life and from life to Gospel. The SFO has individual fraternities throughout the world, that while they serve as the definitive SFO religious community, they do not live together. Fraternities do meet at least once a month for prayer, fellowship and on-going formation. SFOs commit to living a committed life of prayer, obedience to the Church, and service grounded in the life of St. Francis and St. Clare. The details on how an SFO lives in the world is contained in the Rule, which is officially approved and administered by Rome.
What the SFO does is go from Gospel to life and from life to Gospel. They commit themselves to regular prayers (e.g., the Liturgy of the Hours), regular fraternity meetings, and to striving to live in the marketplace as Christ lived in the Gospels through the vision of Francis and Clare. The beatitudes are a helpful roadmap.
For an interesting discussion on the habit of the SFO, the Tau cross, and also what a SFO does, visit this page.