"The Loop" is how and where Wordpress outputs the post/page content it queries from the database. The content that is output by the loop is what the client will have control over updating through the post screen in the admin panel. All else like the header, footer, and other columns will be hard coded in the templates. You can put divs or whatever around the loop so the content will be output in that section.
I think if you give this a good read you can get a better understanding.
A great way to learn something is to take an existing theme and examine the PHP code to see how it works. You can start by finding a CMS theme you like, preferably a simple one for starters, and go from there. Look at the HTML that surrounds The Loop and you can get an idea of how it is done.