A collection is a playlist of tracks that you can save and listen to whenever you want.
There are several ways for you to save tracks you like in a collection. Either click the heart next to each track or in the music player in the bottom and "add new collection". Or go to your profile on the top right corner and add a new collection from there. Once you've created collections you can save tracks in them by clicking the heart symbol next to the track you want to save.
You can choose to upload your own cover image to your collection and choose whether it is public or for your eyes only.