Most new shotguns now come with removable chokes, steel tubes that fit snugly at the muzzle. Their job is simple, to constrict the shot path as the pellets leave the gun. The tighter the constriction, the longer the shot pattern holds it shape allowing you to break those long range birds.
Below is a chart that shows the common markings on a shotgun choke tube. The tightest choke being at the top, Full.
|Notches on Rim|
|Improved Modified||IM||00 (**)||II|
|Improved Cylinder||IC||0000 (****)||IIII|
Selecting the right tube is all down to the specific target faced. Extended chokes that protrude from the barrel make it convenient to change between stands to give in theory the best pattern for each clay. Most guns have flush fitting chokes, this makes this quite impractical and the argument for how much it actually helps by is quite a big one.
One thing is certain though, if your starting out in shooting, its best to forget about chokes and just concentrate more on the key things like gun mount and technique.