You may be new to digital, Bill, but I get the impression that you've certainly dabbled in photography before!
RAW files are a way of post-processing your data essentially. The way the information is stored enables for a greater amount of manipulation to occur - including adjusting the exposure after the photo is taken without 'damaging' the image as you would with, say, a jpeg image.
If your camera offers RAW+jpeg simultaneously then this is widely used. It's a good way to quickly preview your shots on a PC (as the jpegs load fast), plus working on RAW can be quite time consuming...
RAW compatibility has been known to be an issue - each manufacturer tending to have their own file format of what is essentially the same data.
People on here can help you with any queries anyway, and I'm sure there's plenty of articles to help you along your way.