A hierarchy lists dimensions from broad to detailed, like Region, State and City. Once fields are in a hierarchy, their pills get a + on the shelf, just like dates: click it to drill down to the next level, and click the - to drill back up.
To build one, right-click the broadest field in the Data pane and choose Hierarchy > Create Hierarchy..., give it a name, then add the other fields in order with Hierarchy > Add to. The Data pane shows the hierarchy as a folder with its fields inside, in order.
The order matters: the + always adds the next field down. A hierarchy of State before Region would drill from states to regions, which makes no sense.
Hierarchies don't change the data. They only make drilling quicker, which is what dashboard readers expect.