As RK's shown, just a tad more detail 
Line1:
Code:
( Start a lisp expression
setq Call the setq function
a Set the following value into variable a
( Start a lisp expression
entsel Call the entsel function, asking user to pick an object
"..." Argument to entsel, in this case the message to display
) Close the last lisp expression
Notice there's only one closing parenthesis, which means the 1st lisp expression continues to the next line.
Lisp runs the code from inside to out in prefix notation. I.e. the ( effectively means about to call something. The first word in the (...) group is the function name. The rest (if any) are the arguments passed to that function.
So, what happens in the 1st line? The arguments for setq is evaluated first. Setq can have many arguments, but always in multiples of two: 1st the variable's name, then it's new value. But seeing that the 1st value is a lisp expression, that is evaluated before it's set into a.
So then entsel is called, passing the sting (note surrounded by double-quotes) argument to it. This then waits for the user to pick an object. After the user picked the object entsel returns a list of data in the form (<EName> <Pick Point>). This then gets set into variable a.
Then setq checks if there's any more arguments ... ah yes, there are. A pair: a (car a). So again evaluate the value first: car means 1st element of list. Since a already contains (<EName> <Pick Point>), this then extracts only the <EName> and places it inside a.
Next we get: b (entget a). The entget takes the <EName> inside a, then extracts the DXF data from that entity and returns it to setq so it can be saved into b.
The rest continue much in the same manner until the last closing parenthesis is reached and setq then stops. It returns the last value it evaluated, in this case the remainder of the sub-list in b starting with 11, which is most probably something like the endpoint of a line in the form of a list of reals: (X Y Z).