A run is a fenced area around a henhouse (or coop) for the chickens to exercise in safely. For instance, my coop is a shed that the chickens sleep in at night and it has nesting boxes and perches, but the run is the fenced area outside for them to run around in. Some people just free range their chickens and therefore would have no run, but personally I keep my birds in a run most of the time because I don't want to risk losing them to predators. Sometimes people will refer to the whole thing--henhouse and run--as a coop as well, so just be aware that that's interchangeable.