Definition: Two or more atoms which are linked together make a molecule. I'll explain how they are linked. You know that the atom includes electrons which rapidly circle the nucleus.
Atoms have different layers of electrons in shells: the first layer has two electrons in it. The next layer has eight electrons. If we look at an atom of oxygen we find there are two electrons on the inner shell but only six on the next layer. We expect two more to make the second electron shell complete. If there is another oxygen atom nearby, it too will have six electrons on the second layer. So two atoms of oxygen get together to make a molecule. They are now both stable and complete with eight electrons in their outer layer.
We call this O2, a molecule of oxygen.