A Saving Throw is a roll made to avoid some kind of negative effect happening to your character. Perhaps they slip and fall, and make a Dexterity saving throw to see if they take damage when they land, or perhaps they make a Wisdom saving throw to avoid being charmed by an enemy.

Saving throws are made just like skill checks, by rolling a d20 and adding the relevant modifier. They are distinct from skill checks because they can be effected independently by negative effects (such as an effect that gives disadvantage on saving throws, but not skill checks) and can benefit from proficiency independently from skills.