Multi-messenger astrophysics with high energy neutrinos and gamma rays

Recent detection, for the first time, of a very high energy neutrino above several hundred TeV coincident with a high energy gamma-ray flare (from few hundred MeV to few hundred GeV) from a "blazar" source (TXS 0506+056) has generated a lot of excitement because of its implications for the long standing problem of the origin of high energy cosmic rays. Follow up observations were also conducted in other wavelengths (X-rays and optical). In this colloquium, we will briefly review the different observations that led to this new detection and also discuss their implications for the mechanisms of production of high energy gamma-rays and neutrinos in this source in particular, and the origin of high energy cosmic rays in general.