Sorry, to sound like a dick here, but if you don't even know what they are you shouldn't be buying them. Read up on parts to get a general idea of what they are and do before you decide to buy them.

And to answer your question, yes the shock is replaced in these systems. Actually, the shock body is a threaded design so that you can raise or lower the vehicle, via locking perches, at each corner to properly distribute the cars weight and to lower the center of gravity of the car to produce a more stable vehicle in turns and strait line acceleration.