Hi! That's an interjection. :-)
Interjection is a big name for a little word. Interjections are short exclamations like Oh!, Um or Ah! They have no real grammatical value but we use them quite often, usually more in speaking than in writing.
When interjections are inserted into a sentence, they have no grammatical connection to the sentence.
An interjection is sometimes followed by an exclamation mark (!) when written.
Interjections like er and um are also known as "hesitation devices". They are extremely common in English. People use them when they don't know what to say, or to indicate that they are thinking about what to say. You should learn to recognize them when you hear them and realize that they have no real meaning.
Here is a table of interjections with implied meanings and example sentences.