Basically a Mash tun is a usually insulated vessel that will maintain temperature for the duration of the mash. The mash is where you let the grains sit in appropriately temperatured water (150-160 degree F) which allows the enzymes to convert the starches to sugars which is what will be eaten by the yeast. You can make beer, even all grain, without a mash tun, but will have to pay attention to temperatures and worry about straining the grain remains out when done.