A dataset is a single group of records - imported, for example, from a single database table. Each of your datasets is kept in its own protected storage area, known as a Bunker.
Almost any meaningful project will involve two (or more) datasets - either two datasets you own, or one which belongs to you and one which belongs to a collaborator. Using a query, you can analyse the multiple datasets without ever needing to bring the original data together.
You can create, manage and delete datasets using Dataset Manager.