Shrouds are the covers that go around the actual projector light unit.
Those are shrouds. They go around the projector unit. You can see what it looks like around the projector unit here:
By the way, if you do this, I suggest getting a spare set of OEM headlights just in case you mess up or if you drive your car on a daily basis. You wont be able to drive through the canyons on the way to Vegas without any working headlights.
And do note that this project takes more than one day. Hope that helps you out!