HRSG stands for Heat Recovery Steam Generator and it is a boiler that generates steam by boiling water. The heat source for boiling the water comes from the gas turbine exhaust air, hence the word recover is used here.
Why do you want to recover the heat?
Because gas turbine exhaust air is 1000 Fahrenheit and thousands of pounds per hour flow, it would be a waste just letting it go into the atmosphere, so we recover that heat and make steam out of it. What is the steam used for?The high pressure and high temperature steam rush into steam turbine and its blades start turning like a fan which generates second cycle of power. Note that the first cycle of power generation is from the gas turbine.