In Construct objects perform most of the useful work in a project. Most of the things you see in a Construct project are represented by objects, and there are also hidden objects for other purposes (e.g. audio playback).
When inserting a new object, typically you first choose the plugin in the dialog (e.g. Sprite). This then creates an object type (e.g. TrollEnemy). When the mouse turns to a crosshair this allows you to place the first instance, and you can duplicate the instance to create more of them.
Understanding the differences between them is essential to use Construct effectively, especially object types and instances. The rest of this manual section goes in to each aspect of objects in more detail.