A roux is the base of many sauces, made by combining and cooking flour with some kind of fat. If you're making a Cajun recipe, your roux might be a mixture of flour and bacon fat.
Cheese sauces, gravies, and staples of French cuisine like Béchamel sauce all begin as a roux. For most roux, you start by heating butter, oil, or another fat in a pan, then add flour and cook it while stirring or whisking until it's completely incorporated and there's no lingering taste of raw flour. Other ingredients, like milk, cream, cheese, or water, are added slowly to the roux. In French, roux means both "browned butter" and "reddish-brown."