Which part?
You set up withholding on your paychecks; a chunk of your pay is taken out and given to the government, to cover your taxes. You do this so it's taken out on each check rather than owed in a lump sum at the end of the year.
At the end of the year, when you calculate your taxes owed, it usually (if you set up withholding properly) comes out to somewhat under your withheld amount; this means the "extra" money that was withheld is returned to you, as a tax return.
You don't earn any interest on withheld income.
A perfectly-set-up withholding will result in a tax return and a tax owed of $0, ensuring you keep as much of your money in your bank where you can make use of it immediately; you would have paid exactly what you would owe at end-of-year.
Bigger tax returns mean your withholding is set too high. That's all it ever means.