A 'pop-up' or 'pop-up window' is a small screen that literally pops up, or opens automatically, over the top of your browser. This can happen when you're on a website and mouse over something, or the website may simply detect that you're present and open the pop-up. It can usually be closed by clicking on a small cross found in the top right-hand corner of the window.
Pop-ups are often a form of online advertising. Sometimes they're issued by legitimate companies, but they're also frequently part of ‘phishing’ expeditions, fraudulent schemes to obtain your personal or financial details, so it's important to exercise caution. That said, not all pop-ups are bad. They can sometimes be an important feature of a website, providing you with further information or instruction.