You hold ETH and want to hold dollars without leaving Ethereum: the USDT lands in the same wallet, at the same 0x… address, ready for an app, a payment or an exchange deposit page that says ERC-20. It is the route for sitting out a move in the ETH price while keeping everything in one place.
Both legs run on Ethereum, but they are two separate transactions. Your wallet sends ETH to a one-time deposit address; after 15 confirmations — about 4–10 minutes — USDT is transferred from a payout address to the address you gave. The gas of that payout is paid by the payout address. Your own cost is the gas of the deposit transaction, and you should leave enough ETH behind to move the USDT later.