The internals of an engine have to be lubricated, or the moving parts would soon overheat and sieze up. An engine just couldn't work without some lubrication.
In a 4-stroke engine (EG car) a reservoir of oil is kept internal to the engine, in the sump. An oil pump takes oil from the sump, and pumps it through a complicated series of channels so it gets to every bit that needs lubricating. It then drops back into the sump, mainly through gravity. The oil goes round and round this circuit repeatedly.
In a 2-stroke, usually because of the design needs of simplicity and lightness, there is no oil circulating system. The oil is provided in the fuel, and every time the engine draws in fuel, to burn it, it also takes in some oil, which provides one-off lubrication of the internals of the engine. Most of the oil then gets burnt, with the petrol. Hence the smoky, smelly exhaust of 2-strokes.