Cold Wallet?

Can someone help explain what a cold wallet is? How it works? And where do I go to set one up?

I own my BTC on CashApp because that is where first saw where to buy them. Later heard of Coinbase but decided didn’t want to pay to switch apps.

What is the “best” app/program to acquire BTC on and how does storing/keys work?

I own as of Dec 25, 2024 0.21000649 BTC worth about $20,644 if this affects anything.