A clip is a lightweight non-enclosing thing that's typically used to load bullets into a magazine. It's basically a strip that holds the bullets together so you can just slide them all in easily. Some guns like the M1 Garand have it so you put the entire clip in (strip and bullets) to a fixed magazine, but these days they're more commonly used - as the "stripper clip" variant - to fill detachable magazines. In those cases, the clip is used to feed the bullets in, but after that you remove it, stripping the bullets off it.
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Wikipedia