Graduated filters are pieces of acetate or optical glass that you can place in front of your camera lens via a filter holder. A graduated filter, as its name suggests, is dark at one edge and gradually becomes clear towards the other edge. You can buy various qualities of holders and filters from really cheap Chinese ones through to professional sets from Lee. I use Cokin which is a pretty good quality for amateurs without breaking the bank. You need to choose which size of filter according to your camera. See here: http://www.cokin-filters.com/creative/
Also there are various densities (darkness) and colours of filters.
To use, choose the correct Adapter Ring for your lens (see rear of lens cap for the correct size) and screw it to the front of the lens. Next slide on the Filter Holder. Finally slide in the Graduated Filter with the dark portion at the top.
Roughly align the edge of the dark portion with the horizon and you are ready to take your sunset photo.
The Graduated Filter evens of the brightness difference between the bright sky/sun and the darker foreground (sea/land) making it easier for the camera's metering system to judge a correct exposure.
A video explanation by Mike Browne may be found here:-
PS Use a long telephoto to make the sun appear larger than it is.