Hey, and welcome to the Processing family

the 'i' is simply a commonly used variable.
in this setting you could call it 'lineNumber', it would still do the same job.
The for(int i= 0; etc is what you call a for loop

The basic structure is something like this.
for(initial variable(s); continue if this expression is true; do this for each increment){
}

so for(int i = 0; i < lines.length; i++){
println(lines[i]);
}

starts off by making a variable, 'i'.
it then says; as long as i is less than (<) the length of lines, print the line (lines[i])
at the end of each loop, it increments i with one (i++, same as i = i + 1 )

hope that answers some of your questions

-seltar