All fluids exert pressure. Scientifically, fluids are substances that take the shape of their containers. That means gasses and liquids are fluids. Fluid pressure depends on three things: gravitational acceleration, depth within the fluid, and density.
You can essentially ignore gravitational acceleration, because chances are that you are working on problems for fluids on Earth. That leaves depth and density to affect pressure.
The deeper that you go into a fluid, the more pressure it exerts. If you have ever swum to the bottom of a pool, you know that there is more pressure on your ears. Sometimes it even hurts. You are deeper in the fluid, so it exerts more pressure on you.
Density affects pressure too. The more dense a fluid is, the more pressure it exerts. That's because it has more mass per volume. There's more material in a denser fluid to exert pressure. Mercury exerts more pressure than water, because it is a lot denser than water. Water's density is 1.0 g/cm3. Mercury's density is 13.5 g/cm3.