Reproduction in gymnosperms works as follows: First, a leafy green sporophyte (diploid phase of a plant, where it is currently producing spores through meiosis) generates cones that contain male and female gametophytes.
The male cone contains microsporophylls, which are 'leaf-like' organs responsible for bearing microsporangium that produce microspores which then divide into the male gametophyte, also known as pollen. This gametophyte is then carried by the wind or other means of transportation to female gametophytes. This process of transportation is known as pollination.
Now, in the female cone, the megaspore cell divides by meiosis to produce four haploid (cells that have a single set of unpaired chromosomes) megaspores. One of these megaspores then divides to form the female gametophyte.
When the male gametophyte carried by the wind reaches the female cone, it forms a structure called a pollen tube, through which the generative cell travels in the direction of the female gametophyte.
This generative cell will then release two sperm cells, of which one will fuse with the egg giving origin to a diploid zygote (a cell which originated from the union of two gametes, having a pair of chromosomes). This zygote will then divide to become the embryo.
I tried to make it brief while giving an explanation to some of the terms.