$\mathbb{Z}_n$ is another (shorter) name for $\mathbb{Z}/n\mathbb{Z}$, the ring of residue classes modulo $n$. A residue class modulo $n$ is the set of all integers which give the same remainder when divided by $n$. There are exactly $n$ residue classes, corresponding to the $n$ remainders on division by $n$, $0$ to $n-1$.
The key point is that the remainder of $i+j$ on division by $n$ is the sum of the individual remainders, and the analogue is true for the product. So no matter which member of two given residue classes you choose, the sum will always be in the same residue class.
It only makes sense if $n$ is an integer $\ge 2$. If $n$ happens to be prime, it is a field, that's why those are most interesting. Strictly speaking you could also write $\mathbb{Z}_1$, but that would only contain one element.