STEP 1: we divide the `world' into two parts: a) the part we are really interested in (for example, all the conduction band electrons in a piece of metal), and b) the part we are not so much interested in (for example, all the rest of the metal). This splitting obviously is a choice that depends on what we want to describe/calculate
STEP 2: Call these two parts `system' and `reservoir', identify the interaction between system and reservoir, and then derive an effective theory for the system only.