An auxiliary verb is a verb which helps a verb to make a tense. Take for example the auxiliary BE (am, is, are) it helps a verb to make the Present Progressif tense ie I am playing ... The auxiliary HAVE helps verbs to make the Present Perfect tense ie I have seen. WILL helps a verb to make the Future ie I will go... In the sentence it doesn't mean anything, it's there to help the verb.
In English the auxiliaries are, BE, HAVE (and their past tenses, was ,were, had), WILL, WOULD and others have a similar role such as CAN, COULD, SHOULD etc.