Jockey wheels are the two small plastic wheels on the bottom of the rear mech on the bottom rear right hand side of the bike frame. The two jockey wheels on the mech control the tension of the chain, ie keep it taught, and ensure that it doesn’t rub on the frame. The top jockey wheel stays at a fixed distance from the cog the chain is on, no matter which gear is selected and the bottom jockey wheel moves further away or nearer to the top one to keep the chain tensioned.
The good thing about jockey wheels is that they can be replaced relatively inexpensively so if you do break one or want to update or upgrade it is quite easy to do so. If you are in to upgrading parts or getting the latest marginal gains then you can even get titanium or carbon jockey wheels with ceramic bearings which will probably outlast your mech.