The C wire (typically blue, sometimes labeled as COM or Com) is the "common" wire, providing 24 VAC power to the thermostat. While many older thermostats use batteries and don't require a C wire, smart thermostats need it to power Wi-Fi and other advanced functions. If not connected to your old thermostat, the C wire may be hidden in the wall.
If you don't have a C wire at your thermostat, you have three options:
Run a new C wire from your HVAC control board.
Install a Meross C Wire Adapter to your HVAC control board.
Install a 24VAC transformer directly to the thermostat's C and R terminals.