Build
A build is the step that turns your project files into the final, ready to publish files.
In a simple example
Before your site goes online, the build checks the code, shrinks the pictures and makes the final pages.
Why it matters to you
If the build fails, the site is not published, and the message it shows tells you what to fix.
Do not confuse with
Build is both a noun (the build failed) and a verb (to build a site). Here it means the preparing step.