Well, that's a more general PHP question. Anyway, yes, the magic method __construct() is called (automatically) upon each instantiation of the class, as you can see in the manual: http://www.php.net/manual/en/language.oop5.decon.php
Usually, in CI is not necessary to call a constructor, unless you actually want one. In the example you posted, the code loads the helper on every instantiation of the class - which is the same as loading the helper in every method, just saves a lot of typing and ensures it's not forgotten. You can alternatively put the library/helper/model you want to have alywas loaded in the respective autoload array in config/autoload.php (check "autoloading" in CI's manual)
Once you define a constructor in your child Controller you're compelled to call the parent constructor (of the mail CI_Controller class), because there is where the main CI object is created and all the classes are loaded, and you need those in your child controller too; if fail to do so your child class will construct separately and won't inherit.
I hope I made myself clear, english is not my mothertongue :)
var_dump(time())in your constructor and refresh the page to see what will happen. The time string dumped out will change on page refresh, so it means the class is instantiated for each request.