A structure is a group of related values stored together. For example a Point structure has three float values (X, Y and Z) and represents a location in 3-D space.
Structures can contain other structures. A Player structure might contain a Location which is a Point structure, and Inventory structure which contains data about what the player is carrying, a Health structure for the status of the players health, etc.
Structures are an important in documenting your code in that they keep related values together in a single place.