The flange is the part of your breast pump you hold against your breast. (Flange rhymes with BANJO less the -O.) Your nipple goes in the tunnel, or opening, in the center of the flange.
If the flange tunnel is too large for your nipple, you will have less suction, less milk, and it will probably hurt to pump. If the flange tunnel is too small, your nipple will rub. This also causes pain and less milk.
Learn the signs of a good fit and a poor fit here.
Learn how to measure your nipples here.
Keep in mind that you may need a different size of flange for each breast.