This is an early result in Naive Set Theory from Bertrand Russell.
It is a refutation of the Unrestricted Axiom of Comprehension, which lets one form a set out of any collection of objects that satisfy some property P.
Intuitively, Unrestricted Comprehension characterizes sets as "collections of objects", Bertrand Russell showed that such a formulation is unsuitable for mathematics with the following argument.
Theorem:¬∃y∀x(x$\in$ y ↔ ¬(x$\in$x))
Proof by Contradiction: Assume ∃y∀x(x$\in$ y ↔ ¬(x$\in$x))
Let $y_0$ be arbitrarily chosen
∀x(x$\in$ $y_0$ ↔ ¬(x$\in$x))
Let x = $y_0$
x$\in$x ↔ ¬(x$\in$x) Produces Our Desired Contradiction.
That may be too formal to be helpful.
Theorem (informal): R = { x | x∉x }, the Russell Class, Does not Exist
Proof by Contradiction: Assume R exists
R$\in$R → R∉R ( by definition of R)
Likewise,
R∉R → R$\in$R ( by definition of R)
Thus, R$\in$R ↔ R∉R is our desired Contradiction.
So R is not a set, we can still refer to it by the Formula: $\phi$(x) = ¬(x$\in$x), and denote R = { x | $\phi$(x) } as a Proper Class. Informally, we can say that "x is in R" if $\phi$(x) is true.
An interesting fact about this theorem is that we didn't need any axioms of Set Theory, just basic logic. This means, that in any Set Theory based on the same logical principles The Russell Class is not a set.