A CEX (centralised exchange) is a company that operates a trading platform, typically requiring identity verification (KYC), and holding custody of users' funds within its own systems unless and until they're withdrawn to a personal wallet. This is usually the simplest on-ramp for buying cryptoassets with traditional currency.
Using a CEX means trusting that company to keep your funds secure and to let you withdraw them when you want to — history has shown that trust isn't always well placed, which is why many experienced users move larger holdings into their own wallet rather than leaving them on an exchange long-term.