Winter's Passage is a novella that takes place between The Iron King and the Iron Daughter, and it's basically 60 pages of Ash and Meghan's journey to the Winter court. The Iron Daughter begins with Meghan at the Winter court, so if you want to see anything that happened inbetween, you can read "Winter's Passage". Also, if you love Ash and Meghan as a couple there's no Puck, so I guess you see a lot of them!
I started The Iron Daughter right after I read this novella and I have to say I'm glad I read the novella. While it wasn't entirely necessary and there was a flashback towards the beginning of The Iron Daughter of Meghan's arrival, I liked knowing how she got there and I thought it made it make the beginning of The Iron Daughter make more sense. If you enjoy Julie Kagawa's writing and liked The Iron King and plan to continue the series you should read Winter's Passage- or if you read the entire series and missed this one I suppose.
If you'd like to read it, it's available for free on the website for the series and you can download it for your computer/eReader/Printing here until the end of April (it's been available for free since June of last year but apparently it's only available until April of this year- maybe Harlequin Teen is planning on printing it in the next printing of the Iron Daughter or something.) You can also read previews of the Iron Fey series there as well!