Most modern web pages use external style sheets to control the presentation of a page. In a traditional static HTML page, a pointer to a style sheet must be manually placed within the HTML code (usually within the page header).
Here's an example:
<link rel="stylesheet" type="text/css" href="/mytheme.css" />
This code simply tells the browser where to find one of the style sheets (mytheme.css) that controls the appearance of the page.
To the browser, a page from a Drupal site might look exactly the same: the HTML header has the same kind of pointers to external style sheets. The key difference is that behind the scene, those pointers are added to the HTML automatically. Some styles might come from the theme itself and others might be supplied by various Drupal modules (to provide default styling for the module output).
You can add new style sheets to a theme and you can override a default style sheet from Drupal core, contributed modules or even another theme.