No, it's not related to wrestling, and it's not a game you play with your kids outside while running and screaming. A tag is an HTML 'command'. You don't SEE the tags unless you pull down the VIEW menu in your web browser, and select "VIEW SOURCE" or "SOURCE" (whether you see VIEW SOURCE or just plain SOURCE depends on which browser you are using).
Tags begin with the < character, and end with the > character, and the command, usually in plain english is in between. A tag looks like this: <tag_phrase>.
Some examples of things that you use tags for are paragraph breaks: <P> which insert a line between two paragraphs like between THIS paragraph and the one below this one.
Some tags also have a second tag I call a 'closure tag'. A closure tag is the same as a regular tag except it has an extra character. It starts with </ and ends with the same > character. So it looks like this: </tag_phrase>
A closure tag is used to tell the browser where to STOP using a formatting command (close off the command). For instance, you want to turn on bold here, and turn it off here. You would use the <B> tag to START the bold section, and the </B> tag to END the bold section.