That is where you usually install your zigbee coordinator.
You would know this if you had purchased a zigbee coordinator.
Home Assistant requires a zigbee coordinator to be connected to it so that it can talk to your lights. There are many available: Zigbee Home Automation - Home Assistant
Personally I like the Tubes PoE versions: https://tubeszb.com/ as I can power it from my switch and place it centrally in my house where I have a network outlet.
Alternatively you can use a hub and an integration that supplies the entities to HA. The hub does all the zigbee for you.
You should have a read of the Zigbee topics in the Community Guides. The Home Assistant Cookbook - Index