The System class is a class you use to make life easier. Instead of you having to create a link to the standard output, you simply use this utility method in the System class.
The "out" builds on PrintStream, which builds on FilterOutputStream which builds on OutputStream. So you save yourself a lot of work going this route. The "out" method is in the System class, so you call it by calling System.out, with the "." meaning the "out" of the "System" object.
Are you learning Java? If so, how well do you understand OOP? It makes a lot more sense if you understand OOP. It's a bit of a foreign concept in the beginning and can be very overwhelming.
Remember, each object needs to be created before you can use it, but the "out" in System is a STATIC method, so you don't need to create it everytime you want to output something to the console.
Does this help a bit more?