The nozzle is simply a piece with a small hole for the melted filament to come out of. Nozzles are interchangeable, and come in various sizes; 0.4 mm is normal, while you might use a smaller nozzle for finer detail or a larger nozzle to print faster. Nozzles can also sometimes get clogged. This is one of the most common issues with 3D printers. See this article for advice on unclogging your nozzle.