The Sapphire is an item that is needed within Pokemon FireRed in order to fix Celio's Machine on One Island during the Post Game Story. This machine will allow players to ultimately Trade with those playing Pokemon Emerald via the Wireless Adapter, but it will require a player to find both the Ruby and Sapphire before being able to do so.
Out of the two crystals, the Sapphire is much more difficult to obtain than the Ruby. After obtaining the Ruby within Mt. Ember on One Island, a number of things must be done in order to obtain the Sapphire. First off, you must help Lorelie defeat Team Rocket deep within Ice Cave on Four Island. After doing so, you will find Team Rocket's Hideout on Five Island. Unfortunately, you will need the second password to unlock it (having learned the first from the team Rocket Grunts back on One Island).
From there, you will need to head to Six Island. On the southern end of Six Island is Ruin Valley, and within it is the Dotted Hole. This cave can only be accessed by using HM Cut on the door, and deep within it is none other than the Sapphire. Unfortunately, immediately after finding it, a scientist working with Team Rocket will appear and take it back to Team Rocket's Warehouse on Five Island. As he does, he will reveal the second password to you.
With this knowledge, head back to Five Island and infiltrate Team Rocket's Warehouse. By defeating every Team Rocket Member within it, included the scientist that took the Sapphire from you back in the Dotted Hole, you will obtain the Sapphire. With it in hand, return to Celio on One Island and give him the Sapphire. With it, you will now be able to to Trade with those playing Pokemon Emerald.