Your domain is your name on the internet, that's your URL. This means you must own one, perhaps you already have one. These have a .com ending or depending on your country .mx .nl .ca - It's the digital destination where your customers go to find your shop.
Given that Shopify provides everything for your store to be up and running, you just have to make use you own and domain and point it towards Shopify's servers.
In your Shopify admin, you may find Domains menu under Online Store. Here you can Connect an existing domain or purchase a new one.
When connecting an existing domain, a field will appear where you can enter your URL and this box will lead you to further instructions depending where your domain name is registered.