An injection (often called a "shot") is putting liquid into the body, usually with a needle and a syringe. There are many different kinds of injections such as intradermal, subcutaneous, intramuscular, intravenous, intraosseous, and intraperitoneal.
Injections can be used to prevent illness or to give medicine. Injections that prevent illness put a dead or weakened version of the virus they want to prevent into the body. The body then 'remembers' the virus to make future encounters of the virus easier to manage.