A Discord role is a special title or position given to certain server members. These roles can be assigned manually or by another action that checks for a condition (such as being subscribed on Twitch). Roles can be granted or denied certain permissions, so are generally used as "tiers" that gradually offer more permissions the higher up a user is.
By default, the @everyone role denotes normal users, and is the only role that will exist when you first make a server. Simply select to add a role if you would like to create a new one, then create a different set of permissions for that role.