It helps to work your way from the inside out. You can easily see how this works by going to the Formula panel in the ribbon and stepping through Evaluate. I would do it for you but you have shown a screen shot instead of actual data and I am not going to type all of your data in again.
SUBSTITUTE(J:J," ","")
This takes the first argument (J:J) and finds all occurrences of the second argument (a single space), and changes them to the third argument (the null string). That it, it removes all the spaces. Also it normally takes a single value as the first argument but here we have a whole column, so in Excel 365 this forces it to be interpreted as an array formula. So it returns an array of all the values in J:J with the spaces removed. We'll call this expression SU for now.
SEARCH(","&A4&",",","&SU&",")
This searches for the string in A4 adding a comma before and after it. It returns the position of the string it is looking for. So it is searching for the string
,1543465,
It is searching for this string in the values returned by S, adding a comma before and after. So it is looking at
,152486,
and so on. I would show the entire column but you have pasted a picture so I am not going to type all of your data in. Because S is an array, SEARCH will also return an array of numbers of where it finds the string. If it does not find the string, it will return a #VALUE! error instead of a number. We'll call this expression SE.
ISNUMBER(SE)
Because Se returns an array, this will return an array. The array value will be TRUE for values where Se has returned a number, indicating it found the value it is looking for. The array value will be FALSE when it returns the #VALUE error, because it's not a number. Let's call this IN.
OR(IN)
If any value in the array is TRUE, then OR will return TRUE. Otherwise it's FALSE. A value in the array is TRUE for any row where the number in A4 was found in column J.
=IF(OR(IN),"Yes","No")
If the number in A4 was found in column J, return "Yes", otherwise return "No".