what does "a set of sets that are not members of themselves" of Russell’s Paradox mean Russell’s Paradox begins with a statement of "Let $R$ be the set of sets that are not members of themselves", i.e. $R=\{S\mid S\notin S\}$.

I'm a little bit confused  with the statement, for example, let  $S=\{1,\{2,3\}\}$, of course $S\notin S$ since $S$ doesn't have an element $\{1,\{2,3\}\}$, $S$ only have two elements which are $1$ and $\{2,3\}$, So $R$ only have one element i.e. $R=\{\{1,\{2,3\}\}\}$, and again, of course $R\notin R$, I must have something wrong here but I don't know where I go wrong.
Sets are collections of mathematical objects which are themselves mathematical objects. That means that in principle, a set can be a member of itself. We can therefore ask which sets are not members of themselves, and that is a valid question from a mathematical point of view.

Russell's paradox shows us that the collection of sets which are not members of themselves is not a set. It is a collection we can define, but it cannot be a set. And that was the main purpose of the paradox, to dispel the notion that every collection we can define forms a set.

Your example is not good, though, because the paradox applies to the entire mathematical universe. It encompasses all the sets out there. Not just that specific $S$.

Formally speaking, modern set theory has an axiom which prevents a set from being a member of itself. But it is possible to replace that axiom by one of several axioms which guarantee the existence of sets which are members of themselves (e.g. $x=\{x\}$, and more), and these new axioms do not introduce new contradictions to mathematics.
The problem arises from the late 1800's when mathematicians were trying to formalize the notion of what "set" means, what are numbers, what is logic? Georg Cantor proposed Naive set theory where "a set is described as a well-defined collection of objects. These objects are called the elements or members of the set. Objects can be anything: numbers, people, other sets, etc."

Anything that could be described in words was a set, for example the Universal Set, U, meaning the set that contains ALL sets. Since U is a set it must also be a member of the Universal Set so $U \in U$. That was a bit disturbing, even pathological but hey, we can describe it so U must be a set in Naive Set Theory. And since U contains itself, there might be other sets that also that contain themselves. 

In 1901 Bertrand Russell proposed that we look at the set $A$ that contains only the "non-pathological" sets, $A = \{ S : S \notin S\}$ That is "the set of all sets that don't contain themselves." $A$ would be a great set to base mathematics upon except for one problem, is $A \in A$ ? If it is, then by the definition of $A$, $A \notin A$. We also get a contradiction if we assume $A \notin A$. So $A$, and by extension, Naive Set Theory, is logically inconsistent.

Because of Russell's Paradox, mathematicians realized they needed a new theory to restrict what a "formal" "set" means in such a way to exclude $U$ and $A$ from being mathematical "sets". Of the several theories created, the most popular today is Zermelo-Fraenkel set theory or ZF. But that's a topic for a different question.