That's a dipthong. It is used in English a fair bit, but no one ever bothers writing it properly. Examples I can think of (don't quote me on these) Encylopædia, pædophile, err, I can't think....perhaps æther.
It's when two vowel sounds appear together - often it results in elision (correct word?) where they combine together.
In French they have an oe dipthong, e.g. oeuf
