This brief introduction to archives is based on Using Archives: A Guide to Effective Research (Society of American Archivists). Reading through the full guide (also available as a PDF) before conducting archival research is strongly recommended.
Archives contain collections of unique materials preserved by archivists for use today and in the future. Many of these materials would be considered primary sources, like those you see listed in the left menu. Most of the original diaries, records, letters, and other materials available on those pages are physically housed in archival collections. Archives may be located within universities, museums, businesses, historical societies, and other organizations.
For more information see What Are Archives?, What Are Archives and How Do They Differ from Libraries, and Types of Archives.
Although many archives, museums, and libraries have shared many collections online, most archival collections are available to researchers only in person. Often parts of collections can be copied/digitized for a fee, but first you need to know what materials you want. Sometimes you can pay a fee for an archivist to research this for you. Other times, you need to visit the collection in person to discover what exists that's useful for your research.
The most important thing to remember is that archives are organized by collection. Many types of items--photos, diaries, letters, scrapbooks, and others--may all be present in one collection. Many collections, however, are only described at the collection level. In other words, there won't be descriptions of each letter or photograph. Instead, the collection "finding aid" may indicate that there is a box or folder of correspondence or photographs. For a sample finding aid, see the WSU Special Collections finding aids (click here for a sample) or the Appendix of Using Archives: A Guide. Other times collections may not have detailed box and folder listings at all. This is one reason why it is often necessary to communicate with an archivist and to visit an archives in person to conduct historical research.