"First things first:
"What's an object?" - An object is basically a container for a set of variables and functions, and an object is normally used to represent some kind of entity.
"What's an entity?" - An entity is literally a "thing". What I mean by "thing" is an idea or object of any kind. For instance, you could say a car is an entity because it is an object. You could also say that a sale of a product by your sales department is an entity, and you could then break that down and say that the salesperson that makes the sale is an entity and the customer is an entity, and the product is an entity....."
He's introducing Visual Basic and the idea of an object.