Document sets are like a mini-library within a library to hold multiple, related files. These can then be managed as if they were a single item. If this looks like something you could use for a library, you can request this feature be added. Otherwise, it is expected that this will automatically be available in all new sites.
If you create a document set, after creation you are taken inside the set. If returning to the library later, you can click on the name of the set to go inside it.