Krishna Vyana divided the Vedas into four parts. Each of them has ritualistic portions and knowledge portions. This particular Upanishad belongs to the Yajur Veda, which for certain reasons is divided into two more. Shankaracharya has written the commentary, which I'll be using for explaining the Upanishad.
Swami Sarvapriyananda teaches the Katha Upanishad, which is one of the most popular Upanishads. The scripture concerns the story of a young man who goes to the house of death to find out what happens after death. The reply describes the nature of reality and the meaning of life.