A collection is like a big bag you can put objects into. You can keep them there until you want to look at them, you can count them, and you can go through them one by one. You can have many bags, each with it's own set of objects and keep them all separate.
That's where the analogy breaks down: A collection can hold multiple objects, but an object is not restricted to one collection. You can have the same object in many collections.
See
http://msdn.microsoft.com/en-us/library/system.collections(v=vs.71).aspx[
^] for more details - there are a lot of different types, and far to many to go into here!