Answer:
   
   First, all Sabbath-observant and holiday-observant Jews do this, not
   just Orthodox.
   
   The Jewish "day" begins at sunset and continues to the following
   sunset. Thus Shabbos observance begins before sunset on Friday.
   (generally 18 minutes, sometimes more depending upon local custom)
   Since activities such as cooking, driving a car, etc. are forbidden on
   Shabbat, one must arrive home and finish the preparations (including
   showering, changing clothes) sufficiently early to light the candles
   and go to shul before sunset. In the winter sunset comes early, so
   Shabbat observers have to leave work early. They arrange with their
   management to make up the time by working extra hours other days or by
   coming in early on Friday to make up for leaving early.

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