Yea, the W is so you don't lose traction in the snow, makes it start out in second gear and also changes the other shift RPM's.
From the owner's manual :
For Winter/Wet (snow and ice) mode, press the “W”
symbol on the switch. The vehicle starts out in SECOND
gear, unless FIRST gear has been selected, or the accelerator
pedal is in the kickdown position. The “W” mode
helps to improve traction and driving stability of the
vehicle. The gear shifting process occurs at lower vehicle
and engine speeds than in the “S” program mode.
CAUTION!
Never change the program mode when the selector
lever is out of the PARK position. It could result in a
change of driving characteristics for which you may
not be prepared.