Yarn can come in different sizes. When they are constructed at the factory, it is decided how many "ply"s will be in that "skein" of yarn.
The "ply" simply tells/gives you the number of little threads that is wrapped together to make up the final yarn. A lot of yarns come in 2 or 3-ply. (Just as how many threads are wrapped together to make one final rope.)
Skein is the final unit you buy to take home with you.