A roux is simply a mixture of fat and flour, and there's nothing terribly difficult or scary about it. However, roux is used as the basis for numerous sauces and in other dishes, too, so it's well worth while learning how to make a roux.
The first time you make a roux, you will start off with a little fat in a pan where you have just cooked something. Measure the fat off into a measuring spoon or cup, depending on how much you have. Pour it back into the pan and look at how much of the pan it covers, to give you an idea for future reference. Now take some flour, and slowly add a little flour at a time, stirring as you go and making sure that the mixture is completely smooth before adding any more flour. You will eventually end up with something that looks a little like thick, grainy yogurt. If you continue to cook this, it will darken and develop more flavour. If you want a pale roux, cook it in a double boiler. For gumbo, where roux is an essential ingredient, you will want it very dark (but not burnt).
What good is a roux? Knowing how to make a roux is one of the essential basics in most European cooking, as it is used to make sauces. Roux is also good for thickening soups and stews, and is one of the essential steps in making soufflés. By practicing to make roux, you will be able to use roux to build a wide variety of dishes, so it's worth practicing to know how to make one well.