These individual states in the integral are called Fock states and they behave like quantised simple harmonic oscillators. The ground state of a Fock state is when no particles are present.
The first excited state is when one particle is present, the second excited state is when 2 particles are present and so.
So quantum field theory describes particles as the excitations of the Fock states from which the quantum field is built. Each Fock state describes particles with a particular momentum $\mathbf p$.
So you can create a particle of momentum $\mathbf p$ by adding energy to the correspnding Fock state to excite it to a higher energy level.
If you're now thinking WTF I sympathise :-)