While circular breathing is great to know it is NOT a requirement to be able to play and enjoy this instrument. You can build breathing into rhythms you create when you snatch air between beats. It is best to master the other techniques of playing first and learn circular breathing last.
Circular breathing is what allows players to perform continuously without stopping for breath.
Many great wind instrument players such as Miles Davis and Kenny G use circular breathing. In the shower fill your mouth with water and push a stream of water out using only your tongue and cheek muscles. Make sure not to use any pressure from the lungs to help. Once you have that down try to stay relaxed and breath in and out with your nose while making the stream. Keep trying until it feels very comfortable.