A series is the same class repeating on a schedule. Set your Tuesday evening class up once and the sessions are created for you rather than entered week by week.

Why use a series
Because a timetable entered by hand drifts. Somebody forgets a week, a session is created at the wrong time and customers who tried to book on a Tuesday find nothing there.
Setting one up
Create the class, then set it to repeat on the pattern you run. On Schedule a class that choice is Weekly series, beside One-off. Each occurrence becomes its own bookable session with its own capacity and its own list of attendees.

Changing one session
Individual sessions can be changed without touching the rest, which is what you want for the week you start half an hour late or move to a different room.
Ending a series
Set an end where the course has a fixed length. An open-ended series is right for an ongoing weekly class and wrong for a six-week course.
Common questions
If I cancel one week, does the whole series stop?
No. Cancelling one session leaves the rest running.
Can customers book the whole course at once?
A block of sessions is what class packages are for. See selling blocks of classes.

Can I change the time of every future session?
Change the series and check what people have already booked before you do.