A catalog is a database that tracks the location of your photos and information about them. When you edit photos, rate them, add keywords to them, or do other things to photos in Lightroom, all those changes are stored in the catalog. The photo files themselves are not touched.
Note: Catalogs are different from collections. Collections are an organizational tool within a catalog. See Photo collections.
When you start Lightroom the first time, it automatically creates an empty catalog file (Lightroom 5 Catalog.lrcat) for you. To start working with this default, empty catalog, click the Import button.
For more information on catalogs, including a video tutorial, see How Lightroom catalogs work.