Windows are where your running applications are displayed.
In the
Clicking on the application icon will launch it if it is not running, and will open the last used window of that application if it is already running.
Right clicking on the application icon for a running application will bring all windows for that application forward. A menu with the titles of your windows will be displayed. You can select a window from this menu. It also provides options to open a new window for that application and to remove or add that application to favorites depending on its current status.
Windows are shown on their corresponding workspaces.
Very brief overview of what you can do with windows. Link to relevant topics.