Records are simple classes that represent a piece of data that is stored in the database as a row in a table. The only special thing about record classes is that their public properties (that correspond to columns in the said table) should be public.
The tables corresponding to records are created and also modified if necessary by migrations.
Orchard uses the NHibernate ORM library as the database abstraction layer.
This page and many others here are part of the open source, portable package of Orchard goodies: the Orchard Dojo Library. The Library is freely accessible by anyone; just go to its repository to download its full content (you can even download the textual content of the Library as a big concatenated document in HTML), file issues or fork it! You can even edit it online on Bitbucket, just click on the Edit link in the upper right corner!