The difference $A \setminus B$ (or $A - B$) is the set of elements in $A$ but not in $B$.
For example, if $A = \{1, 2, 3\}$ and $B = \{2, 4\}$, then $A \setminus B = \{1, 3\}$. You remove $2$ because it appears in $B$.
Difference is not symmetric: $A \setminus B$ differs from $B \setminus A$. Order matters here.