This is just what it sounds like: it's what your video is put inside to hold – or, ahem, contain – all the file information often including audio (which will have its own codec) and additional information as well (such as metadata or subtitles). When you see saved file types and extensions, they usually refer to the container.
When you're choosing your video format to shoot in, as well as planning your entire workflow, you need to consider codec and container in tandem with one another since each container is only compatible with certain codecs.
Some common container examples are MP4, MOV, and AVI.