The library was established by Alfred Wiener, a German Jew who fled Germany in 1933. It is said to be the oldest Holocaust Memorial Institution in the world and contains much of interest for those with Jewish ancestry. Many of the resources are available online.
This website is a must for those trying to discover the fate of Jewish ancestors who perished during World War 2. There is the Shoah Victims Database, an online photo archive, educational material and much more.
I understand that the website was used in the making of the Stephen Fry WDYTYA episode. Not an easy area of research for genealogists, but one that may help family answer questions that have remained unanswered for several generations.