Master pages are created in the Master Page Gallery at site creation time.
The content in master pages is complex, but SharePoint Designer has design tools that help you make sense of it.
By creating a page from a master page, you can share content easily from page to page.
SharePoint pages contain a large number of content regions, so it is important that any master pages you create account for these regions.
Setting the default master page for a SharePoint site is as easy as making a selection from the master page context menu.