Whats this way of implementing a method in c++?

I want to create a game class using C++ SFML library. I try to use OOP style of coding and I was confused about a code I found on my learning book which is like this:

#include <SFML/Graphics.hpp>


class Game
{
public:
    Game();
    void run();

private:
    void proccessEvent();
    void update();
    void render();

private:
    sf::RenderWindow mWindow;
    sf::RectangleShape rect;

};

Game::Game()
: mWindow(sf::VideoMode(640, 480), "SFML Application") , rect()
{
    rect.setSize(sf::Vector2<float>(100.0f,100.0f));
    rect.setFillColor(sf::Color::Red);
}

I dont understand what's going on in the Game::Game part. Can someone please explain to me whats the : in that part??