Way back in our very first video for level 1-1, we explained that the letter y is sometimes a consonant and sometimes a vowel. In this level, y is acting as a vowel sound.
At the end of one-syllable words, the letter y usually makes a long i sound (my, fly, try, and so on).
When located after another consonant at the end of a multi-syllabic word, the letter y usually makes the long e sound (study, story). That's what we're practicing here!