Why is it incorrect to say that species have improves over the course of evolution, and what effect would an evolutionary biologist say that natural selection has on species?

The main principle in the working of natural selection is that there are no absolutely good traits and absolutely bad traits in a living organism, but that it all depends on what advantage that trait gives to the holder of the trait. For example, it can be beneficial for an animal that lives in the cold climate to have a thicker fur, and the individuals that have thicker fur than others are going to be more successful. This is where natural selection comes into play:

the more adapted animals are going to leave more offspring and therefore pass their genes to the next generation.

Natural selection acts as a filter, it filters out the more adopted individuals and those individuals leave more offspring.

In the long run (over the time of thousands or millions of years) this shapes the population of the species in a certain way.

So, in our example of thick fur, over the course of years, all of the individuals in the population are going to have genes for making thick fur.

We can make one example of plants as well.

Imagine that there's a plant like grass that lives in a grassland area. A lot of herbivores eat these plants and only some of the individuals in the population of this plant can make a molecule that gives the plant a bitter taste. Herbivores avoid those bitter plants and eat others that are normal. Over the course of years, more bitter plants are going to survive and leave offspring and in the end, all of the plants of that species are going to be bitter, because all of the plants that were not bitter were eaten by herbivores and did not pass their traits to the next generation

So, natural selection is not some tangible force, but a filter that selects the fittest individuals in the population.