Most games have items. In some of those games, you use the item as soon as you pick it up, meaning it does its job and then instantly disappears forever. In most modern games, however, if you come across a useful item, you can expect to be able to take it with you for later use. Once you have that capability, you have a Player Inventory.
For some games, the inventory is a limitless Hyperspace Arsenal, meaning that the Player Character can easily carry twenty Sherman tanks around without much thought about where or how. Other games will limit how many items can be carried in one's inventory at a given time. Still, others will take the middle-ground by giving the player access to inventory-expanding containers, up to and including an all-out Bag of Holding.
Sometimes, the inventory will be described as a backpack or the Player Character's pockets, for the sake of making the game that much more plausible. This carry-all item may even be something that fits with the game's overall aesthetics, like a treasure chest in a pirate setting, a hyperspace capsule in a sci-fi setting, or a leather sack in Fantasy. Other times, it is simply left as an undefined space existing somewhere in the ether: one can envision the Player Character whipping out the desired item from somewhere behind his back, the way Bugs Bunny conjures mallets.