Oxford and Cambridge are made up of a number of colleges spread across their respective cities.
When applying to study at Oxford or Cambridge you generally apply to the college at which you want to study.
The following videos give you an introduction to the colleges at Oxford and Cambridge
Oxford Colleges (See full list of Oxford colleges here)
Cambridge Colleges (See the full list of Cambridge colleges here)
If you can't decide on a college don't panic, you can make an Open Application and you will be allocated by computer to a college.