A "file" is one unit of information on a disk. Everything you store on a disk is stored in files. A file may contain a letter you typed to a friend, a list of addresses, a photo, or your tax information. All your data must be stored in files, or it will be erased when the computer is turned off.
Note: Programs are also stored in files, so don't delete files if you don't know what they are for. They may be part of one of your programs.