RAID = Redundent Array of Independent (or Inexpesive) Disks.
You need to have two or more hard drives to setup RAID, and also a RAID supported motherboard or a PCI card. There are a lot of modes of RAID, but for a desktop user, RAID-0, RAID-1, RAID-0+1, RAID-1+0 are the more applicable ones.
RAID-0 is not actually RAID because it doesn't have that "redundancy" part. This is also called striping. One half of data is on one volume and the other part on the other volume. This mode is for boosting speed rather than having redundancy. If one drive fails, you lose all the data (the part on the other volume as well, because they are not recoverable).
RAID-1 is having the same thing on two volumes, so that if one drive fails, other drive can keep the system running. This is called mirroring, for obvious reasons.
RAID-0+1 is having two RAID-1 sets of RAID-0 volumes. It's like mirroring a RAID-0 set.
RAID-1+0 is the other way round.
If you motherboard supports RAID, it will have a separate manual for that. Refer to that, to build your RAID setup. It's always better to have identical drives in a RAID setup, so that the performance and size are not bottlenecked by slowness and smallness of one drive.