Follow Martoch's link, there to find out a ton about it.
Conceptually, though, it's the process of making your CPU run faster than the speed that it was initially labeled as and/or designed to run at. The processor is meant to run at a certain clock speed. If you can make it go faster than that clock speed you are, by definition
overclocking it.
Looked at another way, it's a simple and inexpensive way to get your computer to do double duty as a marshmallow roaster