I haven't taken any courses in set theory, but it makes perfect sense to me. Once someone tells you that the funny script 'R' means "Real numbers", the funny E means "is an element of", and the vertical | means "given that," that's pretty much all you need to know to dive in.

If those concepts cause difficulty, it probably makes sense to go back down the learning curve a bit before tackling linear algebra. Alternatively, just cut and paste the expression into any LLM and it'll explain what's what.