It means to knit into the front and the back of the next stitch.
You first start by inserting the needle into the stitch just like if you are knitting it,(through the front leg) now knit that stitch but don't take it off the needle yet, now swing the right needle to go through the back(the back leg) of the same stitch (stitches have two legs, a front leg and a back leg). Knit that stitch and now you can take that stitch off the left needle. You have just knitted through the front and back loop of a stitch and created a new stitch (increase).
Hope that helps ya hun.