The context of story is as follows: During the vanavasa when Pandavas wandering here and there, once they felt thirsty. So, first Balika went in search of water and he found a lake. When he was about to drink water one voice he heard. The hidden voice asked him to first answer their question and then drink water as the lake was possessed by that person. But Nakula was so thirsty that he ignored that voice and drank the water. After that he felt senseless on the ground. It happened with Sahadeva, Arjuna, Bhima respectively. At last Yudhishthira went there and found his brothers dead. He was going to perform the ablution and descended in water then again that voice addressed him as given in Mahabharata, Book 3: Vana Parva: SECTION CCCXI:
And while he descended into it, he heard these words from the sky, uttered by the Yaksha,--'I am a crane, living on tiny fish. It is by me that thy younger brothers have been brought under the sway of the lord of departed spirits. If, thou, O prince, answer not the questions put by me, even thou shalt number the fifth corpse. Do not, O child, act rashly! This lake hath already been in my possession. Having answered my questions first, do thou, O Kunti's son, drink and carry away (as much as thou requirest)!'
Hearing these words of Yaksha Yudhishthira said those words which you have enquired about.
Hearing these words, Yudhishthira said, 'Art thou the foremost of the Rudras, or of the Vasus, or of the Marutas? I ask, what god art thou? This could not have been done by a bird! Who is it that hath overthrown the four mighty mountains, viz., the Himavat, the Paripatra, the Vindhya, and the Malaya? Great is the feat done by thee, thou foremost of strong persons! Those whom neither gods, nor Gandharvas nor Asuras, nor Rakshasas could endure in mighty conflict, have been slain by thee! Therefore, exceedingly wonderful is the deed done by thee! I do not know what thy business may be, nor do I know thy purpose. Therefore, great is the curiosity and fear also that have taken possession of me? My mind is greatly agitated, and as my head also is aching, I ask thee, therefore, O worshipful one, who art thou that stayest here?'
Meaning of Rudra is already answered in this question: Who is Rudra deva?.
For the general idea of Vasus, you may check This wikipedia page.
And fir the general idea of Marutas, you may check this wikipedia article.