Following are the actions which happens during the Configuration Wizard:
Step 1. SharePoint products and technologies configuration gets initialized.
Step 2. The Configuration Database is created for the SharePoint Farm.
Step 3. Now Help collections are Installed.
Step 4. Resources for SharePoint are secured now.
Step 5. SharePoint Services are installed and registered in this step.
Step 6. SharePoint Features are installed and registered in this step.
Step 7. The SharePoint Central Administration Web Application is provisioned.
Step 8. The Files for Web application is installed.
Step 9. SharePoint products and technologies configuration is finalized. The IIS gets reset.