These are preprocessor instructions.
C & C++ provide a preprocessor that your code is filtered through prior to be compiled. This might strip out e.g. comments and unnecessary whitespace, amongst many other things. One of the features of the preprocessor is that you can issue it special instructions.
Of the instructions you're referring to:
#define MY_NAME "Bert"
This tells the preprocessor to replace all occurances of MY_NAME with the string literal "Bert".
#pragma once
Pragma instructions are often compiler-specific (e.g. GCC pragmas might not be available for MSVC and vice versa). This particular pragma is from MSVC, informing the preprocessor that this file should only ever be #included once. There are all sorts of other pragmas available, you'll have to refer to your specific compiler's documentation for more details about what pragmas are supported.