It's the box fixed to the end of the dish arm. The curved surface of the dish reflects and focuses the signal on to the LNB which in turn feeds it down the cable to the digibox.

The term 'LNB' stands for Low Noise Block down-converter. The signals transmitted from the satellite are at too high a frequency to be sent down a copper cable, the signal losses would be too great. So the LNB converts that block of frequencies to a lower set of values that can be sent down the cable without degrading too much (which would increase the 'noise'-to-signal ratio).