Reading a tutorial on the net will probably help you more than any explanation you could get here but briefly: in object oriented programming a class allows you separate code into units (classes) for ease of reuse and to keep relevant code functions together.
Say you created a class called Dog. You could then put dog related methods into this class such bark() or dragButtOnFloor(). Then in your calling code you first create an instance of the Dog class and then call it's methods. In c#
Dog dog = new Dog();
Classes also allow for things like inheritance which is another topic you will want to learn about too.
But, as I said, an online resource or book will provide the depth you need to learn these concepts.