A pgn file is basically a simple text file with chess game notation that can be read by chess software. If you have a pgn file of your game (or of games of others), you can play the moves out in a chess program and, if you wish, analyze them with an engine.
Most chess websites will let you download a ready-made pgn file, so all you have to do is download it and open it in SCID or whatever chess program you use.
However, if you use websites that don’t let you download the pgn files of your games (e.g., chess24) or sites where they give you the pgn but you can’t actually save the file, only copy and paste (e.g., chesscube), you’ll want to know how to make your own pgn files. The video below shows how you can do this (again using all free software).