Unlike democracies, where citizens have a very big role to play in who choosing the heads of government and state, in a monarchy, all the power lies with a person, or a royal family. This person is called the monarch.
Monarchy is a family business, so if you are born into a royal family, you are probably going to become the head of state once after the death or abdication of the present ruler.
Monarchy governments have been around for centuries. In fact, ancient and medieval governments were almost all monarchies. Today, though, only 44 countries are monarchies, and in some not all political power lies in the hands of the monarch, like with the United Kingdom.
This video should help put all of this in the right perspective.