"\d\_*" says: look for a digit, followed by any number of underscores. The "\" before the underscore tells the RegEx to look for the literal character "_". This means that it would match: "6_", "5___", "1"
The round brackets are what's called a Capturing Group, meaning, parse this bit out into a new column.
"([A-Z]+)\_*" says: One or more capital letters, followed by any number of underscores. Notice that the \_ is outside of the capturing group, so that we do not keep this in our parsed column.
"(\d+)\_*.*" says: One or more digits, followed by any number of underscores, followed by any other characters.
Hopefully this was clear, let me know if there's anything you want me to expand on.