What is a furry?
The only furries I know of are animals
If that's not enough explanation, the internet is your friend.
Don't go there, unless you're prepared to be disgusted, revolted, and completely weirded out.
I warned you.
"Furries" have a wide range of definitions. It ranges from the bizarre, but less harmful, desire to regular dress up as an animal and pretend you are one (beyond just going to things like costume parties). Again, bizarre, but not as harmful.
Then there are the folks for whom it is a sort of sexual orientation and believing they actually are said animals - not just pretend or dress up - sort of a cross-species version of drag queens and the transgender movement. This is sort of how this whole thing started - and obviously this is not harmless like the above.