This always sounds terribly grand, and although you can buy specific equipment for the job, a bain-marie need only be a roasting tin half-filled with hot water.
It’s used for protecting dishes requiring gentle heat (such as egg-based desserts) from the fierce heat of the oven. It can also refer to a double saucepan or double boiler (a bowl suspended in a saucepan half-filled with water) used for melting chocolate or thickening sauces that are prone to curdling over direct heat.
When using a bain-marie, the bowl shouldn’t touch the water. Keep an eye on the level of water – it can easily evaporate even if it’s kept at a simmer.