Lore is the history and events that have happened on Nirn since its creation. Many stories and adventures that have taken place in Tamriel are considered to be a part of lore, though much lore is recorded events that are not experienced in any of the games. Most of the lore in The Elder Scrolls comes from the continent of Tamriel, in which currently all the games have taken place. Some lore is from the other continents on Nirn, such as Atmora and Akavir.
The lore of The Elder Scrolls goes back to the beginning of the gods, and the world itself. The Aedra helped create the mortal plane, Mundus, giving away a significant amount of their power to do so. After this types of life starting forming on Nirn, the two main types of humanoid races to live on the planet (and be a part of most lore) are humans and elves.