GNU/Linux is a multiuser system. This means that more than one user can access the same machine, each with the ability to keep his or her own data and configuration files private and protected from other users. To be able to do this, different user accounts must be created by the administrator. The administrator is called root, whose password has been set during installation, and who has no restrictions at all on the system.
It's also important to understand the terms “to log in” and “to log out”. To log in means to identify yourself to the computer. Think of it as a security officer verifying who you are before letting you in. After logging in, the system takes a number of actions in order to give you access to the system's resources. By logging in, you start a so-called “session”.
When you log out you are telling the system you no longer need to use its resources. Your personal session is closed, you exit the graphical interface and the login screen appears once more.