Buddhism is well known for its idea of anattā, often translated as “no self.” As a result, you might often hear that the Buddha claimed “there is no self.” However, the Buddha very rarely made such binary statements, and others familiar with his teachings point out that he never actually said “there is no self.” One at least one occassion, when asked about existence of the self, he remained silent.
When you sit down to practice Vipassana meditation, you observe your moment to moment experience with the intention of seeing the three characteristics: anicca (impermanence, change), dukkha (unsatisfactoriness, suffering) and anatta (not-self). More accurately, you are tuning into the 3Cs, as they are always already the case. This is not a philosophical exercise – the practice is to stay at the immediate sensate level of your experience, with a degree of mental calm that allows you to observe manifesting reality without getting caught up in it.