A catalytic converter is a component in the exhaust system that chemically converts some of the more harmful gases produced by the engine, like carbon monoxide and nitrogen oxides, into less harmful ones before they leave the car. It does this using a small amount of precious metals as a catalyst.
Those precious metals are exactly why catalytic converters have become a common theft target in recent years: they can be removed relatively quickly from underneath a car and are worth money for the metals they contain.
A missing or damaged catalytic converter isn't just noisy, it can also mean the car's emissions no longer meet the required standard, which is tested as part of the MOT.