וישמע יתרו כהן מדין את כל אשר עשה וגומר
מה שמועה שמע ובא? קריאת ים סוף ומלחמת עמלק, רש"י
Why does Rashi ask what Yisro heard? the pasuk says he heard everything that Hashem did to the Mitzriyim.
The Jews experienced at Krias Yam Suf things that nevi'im did not experience. The said "zeh keli ve'anvehu" as if pointing to Hashem with their finger. How then did Amalek, who came shortly afterward, think he could corrupt them with his influence? He reasoned that since the Jews were not "at home", they were traveling, they would not feel as obligated and committed by their spiritual knowledge and experience. Which turned out to be true to a certain extent.
Yisro could have sent a message to Moshe asking that he send someone to come to Midyan, where Yisrolived, to convert him and teach him Torah and Mitzvos. The question Rashi is asking is what prompted him to come to Moshe, מה שמועה שמע ובא, what caused him to leave his home.
Yisro wanted to accept the Torah while away from home in order to pre-empt and negate the tactic used by Amalek. The Jews as a people also accepted the Torah in the desert and not in Eretz Yisrael for this reason, so that a person should not think that when away from home he is not obligated as much as when he is settled.
Aish Kodesh, by Rebbe Klonimus Kalman Shapira zt'l zy'a, from Piasezcna,
a collection of the torah he said in the Warsaw Ghetto during WWII