Ah, Roaming. A common experience for frequent travellers, and a confusing and nightmarish one for those who are new to it.
Roaming is a service that is usually allowed by your data provider where, for a small fee, you can use your data out of your home country. Let’s say that I wanted to travel from the good ole’ U.S. of A to somewhere in Europe. If roaming was on, my provider would connect me to some of the cell towers that other providers based in Europe have. Making deals for this can be expensive though, so you might get charged when you’re Roaming.
Overall, it’s a pretty nice thing to have implemented, despite sometimes exorbitant pricing. No longer will you be stranded in another country until you can find somewhere with free wifi to let your relatives know you landed safely.