The first step in making a protein is transcribing mRNA from DNA. This is done by opening up the DNA helix and copying one strand to make mRNA. However DNA contains lots of extra bits of DNA sequence that are not needed to because they do not code for proteins. These extra bits are called introns and are removed or ‘spliced’ out of mRNA. The remaining DNA sections that do code for proteins are called exons.
It gets a bit more complicated because some exons can sometimes be removed as well to make different forms of a protein by a process called alternative splicing.