An establishing shot establishes the setting of a scene.
When we see a shot of the sun setting behind the exterior of a building, and then we cut to the inside of that building where our scene takes place, we have seen an establishing shot.
Establishing shots can be written into your screenplay, but they do not necessarily have to be marked as establishing shots.
EXT. VELJOHNSON HOUSE – NIGHT
Reggie’s room is perched silently above a glistening pool.
INT. REGGIE’S ROOM – CONTINUOUS
The FBI agents stealthily dig through his closet, careful to leave no trace of their presence.
When dialogue is spoken over an establishing shot (or the previous scene, for that matter), and it leads into the scene, this is called a “pre-lap,” and should be indicated as such.