Bibtex is a program and a format used to organize bibliographical information.
Information on BibTeX

The two files, test.tex and mybib.bib are an example for how to use bibtex.
mybib.bib is the data information, following the BibTeX format.
test.tex uses

\bibliographystyle{}

to define the bib style and

\bibliography{mybib}

to pass on the name of the bib data.
Once compiled using Latex, the bibliography is linked by running bibtex on the document, and latex again:

latex test
bibtex test
latex test
latex test