I came across the phrase "Consider a free ultrafilter on $\omega$". I'm not too familiar with ordinals but a quick read tells me that ordinals describes the position of an element in a set and $\omega$ is the smallest infinite ordinal.
On the other hand, ultrafilters are defined on sets. So what does it mean to consider an ultrafilter on a "number" $\omega$? It's like saying "consider an ultrafilter on 42". What does that mean?
In set theory, ordinals are sets. Natural numbers are also sets, as are real numbers, etc. In set theory, basically everything is composed of sets.
An ordinal is a set that is both transitive (under the $\in$ relation, i.e. $x$ is transitive if $a\in b\in x$ implies $a\in x$) and well-ordered by $\in$ (so every nonempty subset of an ordinal number has an $\in$-minimal element, and $\in$ is a linear order on the set). There is a transfinitely recursive way of generating all the ordinals:
The ordinals are then ordered by $\in$: An ordinal $\alpha$ is less than an ordinal $\beta$ iff $\alpha\in\beta$. Since $\in$ is a well-order on ordinals, this implies that the class of all ordinals is itself well-ordered by $\in$.
In turn, we can use the ordinals to model the natural numbers, by setting \begin{align} 0&=\varnothing\\ 1&=0\cup\{0\}=\{0\}, \\ 2&=1\cup\{1\}=\{0,1\},\\ 3&=2\cup\{2\}=\{0,1,2\},\\ &\text{etc.} \end{align}
The least infinite ordinal is then called $\omega=\{0,1,2,3,\dots\}$ and contains all natural numbers. Since $\omega$ is an ordinal, we can keep counting onwards to get $\omega+1=\omega\cup\{\omega\}=\{0,1,2,\dots,\omega\}$, and so on.
So, in conclusion, an ultrafilter on $42$ would be an ultrafilter on the set $42=\{0,1,2,\dots,40,41\}$ of all natural numbers less than $42$. For example the ultrafilter $F=\{X\subseteq 42\mid 13\in X\}$ containing all subsets $X$ of $\{0,1,\dots,41\}$ that have the number $13$ as an element.
An ultrafilter on $\omega$ would be an ultrafilter on the natural numbers $\omega=\{0,1,2,3,\dots\}$. A free ultrafilter is hard to describe explicitly, since a weak form of the Axiom of Choice is needed to prove the existence of free ultrafilters. One can start with a free filter, such as the Fréchet filter $F=\{X\subseteq \omega\mid \omega\setminus X\text{ is finite}\}$ of all cofinite subsets of $\omega$, and then use Zorn's lemma to extend $F$ to a maximal filter (= ultrafilter).