Allah is the name Muslims use for God. In Islam there is one God, and Allah is that God — not a smaller god beside others. In Muslim teaching this is not a different being from the God Jews and Christians speak of; it is the same one God, called by the Arabic name. You capitalise it, like a name, and you do not normally put the in front. English speakers often say Allah when they are talking about Islam in particular, and God in a general or Christian setting — though actually, Arabic-speaking Christians also use Allah in their own worship. You hear it inside phrases such as inshallah (“if God wills”). It is a name said with respect; joking with it can hurt people.