How does creating a instance of class inside of the class itself works?

How does creating a instance of class inside of the class itself works?

What makes it possible to create a instance of class inside of the class
itself?
public void class My_Class
{
My_Class new_class= new My_Class();
}
Isn't this like using a function without creating it at the first place ?
How can you explain this be explained to someone from functional
programming?