How does the particle word "呢" work?
As others have pointed out, 呢 is a sentence-final particle that nowadays mostly has an interrogative function, namely to form a question regarding a topic that has already been brought up.

The normal interrogative particle is 吗, as in 你是中国人吗？ Or more rhetorically using 吧: 你是中国人吧？ But if you first introduce your own nationality, the question would instead involve the particle 呢: 我是丹麦人，你呢？

If you read older literature like 红楼梦, you will also find 呢 as a sentence-final particle that is not interrogative, but rather emphatic. It may indicate softening or suggestion, like in the sentences 尤氏的母亲已先在这里呢 and 太太们都在楼上坐着呢，请奶奶就从这边上去罢。

Other such particles are 吧 (softening of statements) and 啊 (affirmation).

Then there is a whole range of exclamative particles and interjections used in spoken Chinese, such as 呗 (when stating something obvious or with authority), 嗯 (acknowlegding), 哦 (surprise), and 哇 (awe).

Functional particles that are essential to Chinese grammar include 着 (durative aspect particle for continuous action, 我穿着衣服 = I am getting dressed), 了 (completion, 我回来了 = I am back, or 我不抽烟了 = I am not smoking anymore), and 的 (possessive particle: 我的车子).

Particles are thus used to modify words and sentences. They are not words per se, but add structure to sentences.