Fixtures are systems to hold a work piece to a machine as to not move which allows the machine to cut the desired part. (at least a fixture for a CNC machine)
Making a fixture is highly dependent on the details of the part you are trying to make. Anything from a simple vise to a complicated custom fixture would be considered a fixture. Here is a video that shows the concept of making one possible fixture for a simple part - https://1drv.ms/v/s!AhjMss4NTevChPNM_IF-ZMblxzjRzw
This software is a great system to design a fixture, because the 3D CAD/CAM runs on the CNC itself. This allows you to make the fixture interactively (disclosure, I work for DM) - https://www.youtube.com/watch?v=g2n1JPUtlCs&t=2s
-Jas