When they visit O'Brien, what does he tell them about the Brotherhood?
When Julia and Winston visit O’Brien, he confirms to them that the secret organization that is the Brotherhood actually exists contrary to a belief that it is a creation of the thought police. But unlike what people imagined it to be, O’Brien informed them that the Brotherhood has no defined physical structure and is only built upon an idea. For this reason, the Brotherhood is indestructible because as long as the idea exists, the Brotherhood will continue to exist.
Its operations are so covert that no one member can identify more than just a handful of the other members. In fact, Goldstein himself could not produce a complete list of the organization’s members if confronted by the Thought Police. He further explained to them that the Brotherhood never comes to the aid of its members in the event that they are arrested, and this was inevitable for Brotherhood members. In the end, they would confess and die without any possibility of experiencing any change. During the conversation, O’Brien also informed them that he would be sending them a book explaining the real nature of their society as well as the strategy they would use to destroy it. After reading the book, the two would become full members of the Brotherhood.
In Part 2, Chapter 8, Julia and Winston go to visit O'Brien to learn more about the Brotherhood. They are finally going to actually do something to oppose the Party.
At O'Brien's apartment, they are told many things about the Brotherhood so I am not really sure which thing you are asking about.
I think that the two most important things are these. First, they are told that the Brotherhood exists and that Goldstein is its leader. Second, they are told that the group is not really as they might imagine it. It is not some big organization where all the members can know one another and act together. Instead, it is very shadowy and no one really knows who else is in it. It is pretty much a hopeless thing because there is no one to support a member and the members are all going to get caught and killed.
So they learn that the Brotherhood exists but that it is a pretty suicidal thing to join.