A container, as the name suggests, refers to the file container that "contains" your video and audio streams and any closed caption files when using those file in a media player.
You can add and select closed captions such as subtitles by clicking the "CC" button (short for "closed captions") on most media players on both Windows and MacOS computers.
A container is also commonly called a file extension since they are normally seen at the end of file names (for example, "thisfile.mp4"). Depending on the camera, camcorder, webcam, or other device you are using, you can add or select the container for your original video file from the settings menu.