Therein means “in that place” or “in that thing.” It's a formal way of pointing to something you just mentioned, without repeating yourself.

If a detective says “We found a locked box, and therein lay the missing jewels,” she means the jewels were inside that box. When a contract states “the rules contained therein,” it means the rules in that contract.

You'll see therein most often in legal documents, formal writing, and older books. It sounds quite serious and official, which is why people rarely use it in everyday conversation. You wouldn't tell your friend “I made a sandwich and ate it therein” (meaning in the kitchen), you'd just say “I made a sandwich in the kitchen and ate it.”

The word can also point to ideas rather than physical places. When someone says “Therein lies the problem,” they mean “that's where the problem is” or “that's what the problem is.” A teacher might say, “You studied hard but didn't check your work, and therein lies your mistake,” meaning the mistake is in that specific habit of not checking.