I'm confused about what the word "aj" is doing... can anyone explain or give other examples?
It's not "aj" but "ajn".
Adding it to a correlative gives it an "any-" meaning.
"Iu ajn povas veni" = Anyone can come.
"Mi amas ĉiujn ajn hundojn" = I love all dogs whatsoever.
Can ajn be used on it's own or does it always need to be used with ie or something like it?
Well, 'ĉi' can't really be used by itself, so I'm not sure if you'd be able to say something like "ajn homo" or if it'd have to be "iu ajn homo".