A closure in C# takes the form of an in-line delegate/anonymous method. A closure is attached to its parent method meaning that variables defined in parent's method body can be referenced from within the anonymous method. There is a great Blog Post here about it.
Example:
public Person FindById(int id)
{
return this.Find(delegate(Person p)
{
return (p.Id == id);
});
}
You could also take a look at Martin Fowler or Jon Skeet blogs. I am sure you will be able to get a more "In Depth" breakdown from at least one of them....
Example for C# 6:
public Person FindById(int id)
{
return this.Find(p => p.Id == id);
}
which is equivalent to
public Person FindById(int id) => this.Find(p => p.Id == id);