A filesystem is a way that computers and other devices organize the data on the drive. It is applicable to basically all types of digital media strorage from CDs to SSDs. It is thought to be like an index for the location of all the data and often involves directories that contain more files. Each drive has specific sectors with blocks containing data. Drives can also be split up into several different partitions with their own file system and data.
Windows supports two main types of file systems, FAT and NTFS. FAT stands for File Allocation Table and is widely supported. A more Windows specific file system is NTFS, or the New Technology File System is widely used for the drive that the OS is installed on.
Mac on the other hand uses a file system called HFS, which stands for Hierarchical File System and is used mostly only by Apple computers. Apple is also creating a new format called APFS or the Apple File System in an effort to increase performance.
Below is an image of all the drives connected internally and externally to my PC. You can see how they all have different sizes and the file systems they use.
Filesystems are often invisible to the average user, but they are extremely important in keeping our computers running. From a security standpoint, there are ways to encrypt the filesystem making it so no one can snoop through your data without a specific key. There are many built-in and downloadable programs you can use to achieve this. If you are concerned about your data, I highly recommend you check this out.