Here's a helpful infographic.

Basically: Lemmy is Reddit if anyone could host their own "reddit.com" and connect them all together into one feed you can access from any Lemmy instance. For example, if you sign up for lemmy.world you can see/upvote posts from lemm.ee or any other Lemmy instances.

By the way, I recommend using an app like Sync or Jerboa instead of the website. Most Lemmy websites are okay but there's still some jank left to work out, especially when clicking links to other Lemmy instances that you aren't signed up for.