The moon orbits Earth. When the side of the moon facing us is lit up by the Sun, it looks like a bright round ball in the night sky. When all of the Sun's light is on the side of the moon facing us, it's called a "full moon".
As the moon keeps orbiting Earth, the amount of the Sun's light on the side of the moon facing us changes. When it goes from full to no light, it's called a "waning" moon, and when it goes from no light to full it's called a "waxing" moon. This is what we call the lunar phase!