In the picture are 3 coiled wires, all sharing the same dark grey ring/toroid (but it looks yellow because it is wrapped in yellow kapton tape).

If you try and send the same signal through each of these 3 wires then they will all fight and cancel each other out (a bit like 3 people trying to through the same narrow doorway at the exact same time; no-one gets through). If the signals are different on each wire then they will get through fine (a bit like people going through a door at different times).

common mode chokes = choke/kill the signals that are common/same on all wires

You typically do not want common mode signals to exit your device and travel along wires, because then these wires act like radio transmitters. The exact reasoning for that is a bit more than I want to write here, but it’s best explained with some pictures and phrases like “you turned your cable into a monopole you doof, use more common mode chokes and think of England”.

Internally these devices work using magnetic fields in the dark-grey (ferrite) ring. I’m more familiar with 2-wire chokes where the coils are wound in opposite directions (so the magnetic fields they make cancel out), I am not sure how it works for 3 windings.