"Knitting in the round" means that they have knitted the item on circular needles. There are several previous posts on this site that go into more detail and I recall one in particular on knitting in the round. Amy also has a video under advanced techniques. You can also knit as if on straight needles with circular needles by not joining...you just switch hands. If you've never knitted on circular needles, do not fear...they're really easy to use.
Knitting in the round doesn't necessarially mean it was knit on circular needles. You can also knit in the round on DPNs. It means that whatever is being knit, is being knit in a joined tube (think sleeve, sock, seamless sweater).