Hey,
Segments is a way to split a list based on it's custom fields value, it's basically a filter that applies to your email list.
For example if you have a custom field that stores the country of the subscriber, then you can easily create a segment to include subscribers only from certain(s) country(es) and so on.
In order to setup a segment, you simply create one and you add conditions, simple.
However, keep in mind that because of the nature of segments, performance(speed of loading and sending) on big lists will be affected a lot, so my advice is to avoid using them if possible.
Thanks.