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.
Here is a list of interjections with implied meanings and example sentences.