The circle of fifths is a diagram that displays every key signature, as well as what the names of the major and minor key that are associated with it. For example, one sharp in the key signature can mean either G major or E minor. The key signature is the actual collection of sharps or flats on the staff (one sharp), and the name refers to the letter name and quality used to identify it (G major).
When a major and minor key share the same key signature (for example, one sharp) they are called relative. E minor would be the relative minor of G major.
When a major and minor key share the same name (for example F major and F minor) they are called parallel. G minor would be the parallel minor of G major.
The circle of fifths also shows you the three sets of enharmonic key signatures--that is, key signatures that are written differently but sound the same. F sharp and G flat are examples of enharmonic key signatures; F sharp has six sharps, and G flat has six flats, but they sound the same.
Here's a great example of a circle of fifths:
So why does this matter? Because great musicians can play comfortably in any key signature, even one with many sharps or flats in it. So it's good to include all the key signatures in your practice.
Below are some ways to include the circle of fifths in your home practice sessions: