About Data Sources
Your first Data Source is almost always going to handle data coming into Firstparty from your website, as that will provide the data used for web marketing audiences, analytics, and the way your known and unknown site visitors interact with your site and organization.
Data Sources aren't limited to the web, and may be fed via a REST API as well. This lets you push data into Firstparty from just about anywhere, and configuring multiple data sources lets you segment the storage of data for later combined or independent use in analysis or tools.