You can see an "Artboard" as a piece of paper which you draw on. Sketch lets you have multiple Artboards in an document which is incredibly useful when designing a website or app where you will have multiple pages or screens. Having them all in one document lets you quickly see them all at once.
When you open Sketch the first thing you should do is make an "Artboard". You can add an Artboard by clicking on Insert > Artboard.
When you've clicked on that you can choose from the various presets that come with Sketch.
Or you can create your own Artboard sizes by simply clicking, holding and dragging anywhere within the work area.
As you can see from the screenshot above there are multiple Artboards. As mentioned at the beginning of this post, this is super useful for having multiple designs in one document.