An InDesign Book is a collection of individual InDesign files. Creating a book makes it possible to break long documents into smaller chapters or sections, with each chapter or section an individual InDesign file. Creating a book allows you to do automatic page numbering across all the individual files, create a table of contents or index for the entire book, print or create a PDF of the entire book, and much more.
To create a book, just choose File > New > Book. This places an empty Book panel on your screen. You can add individual InDesign files to the book by choosing Add Document from the Book panel menu, or by clicking on the plus sign at the bottom of the Book panel. If you have a large number of files to add to a book, adding them this way is tedious. Here's a better way: just drag and drop InDesign files from the Macintosh Finder, Windows Explorer or Adobe Bridge right into the Book panel. You can drag and drop multiple files at a time. You can even drag and drop a top level folder, and all the InDesign files in that folder, as well as all the subfolders, will be added to the book!