"File" in this case refers to some external data file being accessed by your program. More broadly, it applies to a stream, of which a file is just one example. cin and cout are also examples of streams, and there are others too.
But the main thing is, as a beginner, you almost never need to use eof, so now you heard of it, the next thing to do is to put it to the back of your mind and forget about it.