Roles are tools to manage and secure the Drupal website. A role comprises of a group of users of the website with clearly defined permissions. Roles can only be specified by an administrator.
Go to Administer > User management > Roles in the administrator toolbar.
Drupal has 2 standard roles with predefined permissions: the anonymous user and the authenticated user. All other roles are added or removed by the administrator.
An anonymous user is any visitor of the website, not disposing of a user account that can be used to sign in to the website or certain parts of the website.
An authenticated user is any visitor of the website that disposes of a user account which grants access to the site or certain parts of the site and the ability to perform certain actions in those parts of the website.