As the name states, it is snow made into the shape of a cannon. It is also fairly large in size, allowing SpongeBob to sit on top of it.
Role in episode
SpongeBob builds this snow cannon when he and Patrick are portraying as Dirty Dan and Pinhead Larry respectively. Patrick throws a snowball in SpongeBob's face, so SpongeBob reacts by building the snow cannon and hitting Patrick with a mound of snow. Patrick tells SpongeBob that it isn't fair, as cowboys cannot afford cannons. SpongeBob responds by saying "They can't afford station wagons either" before firing a station wagon made of snow at Patrick from the snow cannon.