A burial vault is a protective enclosure that surrounds a coffin. It is placed in the grave, and the coffin is then lowered into it, after which is it sealed, covered, and buried.
In ye olden days of yore, a burial vault's primary purpose was to stop grave robbers from digging up people who had been buried with jewelry. They were made of wood, then of brick or iron. Eventually people realized that burial vaults also helped prevent the graves from sagging and collapsing in on themselves.
Because most coffins are made of wood, they have a nasty habit of eventually rotting out or breaking while underground, especially with the advent of heavy lawn and grave care machinery employed in modern cemeteries. That's why you sometimes see sunken dips in older cemeteries; it's where the coffin has deteriorated and the ground has settled over it.
These days burial vaults are almost always concrete or reinforced concrete. Contrary to what some may think, they are not entirely sealed off as if they were, the gases from the corpse would cause the vault to rupture.