It's like having 3 locks on a door and you need at least 2 keys to open it. This means you can either hold all 3 keys yourself in different locations or have different people hold different keys.
Discussion
Is that something I can create to any wallet or just specific ones?
Lets say I use ledger (ignoring all the controversy around it for a moment) can I make a multisig for my wallet?
It takes some effort as you need to run your own node for a DIY multisig. The below guide is pretty good