An establishing shot sets up the environment of a scene, normally at the beginning of that scene.
Examples are a shot of the outside of a building followed by a scene inside the building, or showing details of a room before turning to conversations between individuals in that room.
They give an idea of the location and the mood of the environment where the action takes place.
That said, the mentioning of ESTABLISHING SHOT or ESTABLISHING in the scene heading is considered obsolete.
Here an example of an establishing shot which doesn’t say so in the slugline (adapted from Men in Black (imdb link), screenplay by Ed Solomon):