PMI is a monthly fee rolled into your mortgage payment that's required when you use a conventional loan to buy a home, and your down payment is less than 20% of the purchase price.
The fee pays for insurance that protects the lender if you default on your mortgage. The insurance lowers the lender's risk of making a loan to you, so you can qualify for a mortgage that you might not otherwise be able to get.
While PMI is an added cost, it enables you to buy now and begin building equity versus waiting years to save up for a 20% down payment.