This is your "urinary" system. It is where your urine (which everybody calls "pee") comes from. When you drink something, the water in the drink goes to the kidneys. The kidney takes the water and adds yellow waste stuff from your body to make urine. The urine then travels down little tubes called ureters to your "bladder". It stays in your bladder until you pee it out (through the "urethra"). When your bladder fills up you feel like you have to pee. After you pee your bladder is empty.
You already know how to hold your urine when you are awake. You wet the bed because your body hasn't learned how to hold it when you are asleep. You can teach yourself to hold your urine when you are asleep, by thinking real hard when you are just going to sleep about not letting your urine go. Also, make sure that you pee just before you go to bed, so you start the night with an empty bladder tank. An alarm helps you to learn what it feels like when you pee in your sleep, by waking you just when you start to wet. After using the alarm for several nights your body learns to not let your urine go or you learn to wake up and go to the toilet.