A closure is a function object that has a reference to the variables in the context it was created in.

var increment = (function () {
  var i = 0;
  return function () {
    return ++i;

Within the IIFE we have set i to 0. increment is initialised the returned function that performs the increment. Anytime increment is called, the variable i (which was created in the context of the anonymous function) is incremented and returned.

Us Northerners say "never forget where you came from", and it's true.