Entropy is a property, just as is P, T, U, H, but it is not directly measurable- it might be considered to be a synthetic property. It was defined or created as part of the developement and statement of the 2nd law of thermodynamics. Simply defining and recognizing the conservation of energy (1st law) does not provide any clue as to which direction a process will proceed- but the 2nd law does define which is a likely or possible direction in which a process will proceed.
Consider the case of 2 items coming in contact with each other, but eaach at a different temperature. The 1st law does not define in which direction the heat will flow, but the 2nd law defines that the heat will flow from the hoter body to the colder body.
Another case: a bottle of gas is opened in a closed room. The first law will not predict that the gas will mix with the air in the room, but the 2nd law does predict that process. By the same token, the 2nd law would explain why the N2 and O2 in air will not spontaneously seperate from air and flow all by themselves into 2 seperate containers, although such a process is permitted by teh 1st law.
Likewise, when you burn gas in your car and the exhaust gas leaves the tailpipe and the extra lost heat is emitted tot he radiator, that direction of that process follows the 2nd law- although the 1st law would equally allow the reverse to occur- the exhaust gas return up the tail pipe, the heat to flow from radiator to engine block, and new gasoline to be formed in the cylinders. Basically, the 2nd law prevents things from operating backwards compared to our normal experience.