The Explorer Window allows you to see everything inside of your Roblox place in what's called a Hierarchy view.
When you left click on an object in the Explorer window, you can see all the properties of that object inside the Properties Window.
 Hierarchies, and You!
The Explorer window lets you see all of the objects, and how those objects relate to each other. This is where a lot of terms like "this object is inside it's parent" or "this object is a child of this one" comes from.
This is actually really simple. Here's a very simplified hierarchy:
In this case, the Script is inside of the Part, and the Part is inside of the Workspace. Also, the Script is a Child of Part, and the Part is the Parent of Script:
Parents are always a step higher than their children.
Click the plus icons to see the children of that object, you can keep expanding until you get to the last child object.