Mine has one as well, as far as I know it's the water control valve. Known as cock-water control in the parts diagrams. Do you have power a/c controls? That little valve should actuate as you move the temp slider. I found all these pics here:

Body Electrical :: Genuine Nissan Parts :: 240SX Parts (S14) 1995-1998 :: Nissan Parts, NISMO and Nissan Accessories - Courtesyparts.com

Here's a diagram:



Here's inside:




Hope that helps...