A shield is an auxiliary board that typically attaches to an Arduino Uno compatible board via the headers on either side of the board. They allow the addition of new capabilities to the general purpose microcontroller board. Shields can allow for connection of high power DC motors, relays, sensors, WiFi communications and many other specialized functions.
Not all shields can be used at the same time and compatibility can vary to board other than the Uno like the Leonardo. Please check the documentation first.