A raw file is the unprocessed data as it comes off the camera sensor, or at least as unprocessed as it's possible to get. All cameras shoot raw. Most cameras begin processing the raw file into an image file such as a jpeg.
The advantage of a raw file is that I can use more sophisticated processing software, such as Adobe Camera Raw, than the processing software that comes in the camera.
Think of the raw file as your original negatives from the camera. Any processed files would be a kin to the final print from the negatives. Keep the files safe. You can always go back to these files for re-processing at a later date.