A short row is where you stop in the middle of a row, turn your work and start back in the other direction. This is done to help shape a garment around, say, the bust of a fitted sweater, the heel/toe of a sock, etc. When you do a short row, you will end up with a hole between the last stitch worked and the next stitch on your right needle -- the one you leave behind. By wrapping that next stitch, you will keep these holes from forming.
To wrap a stitch, work to the last stitch of your short row. Before turning your work, slip the next stitch, bring your yarn to the front (if knitting) or back (if purling), slip that same stitch BACK to the left needle and bring your yarn back to where it started. That stitch will remain on your left needle and your yarn will be wrapped once all the way around it. Now turn your work and start the other way and you have completed your short row with a wrapped stitch.
There is a video showing how to do short rows and wrap sts on this site. Go to the Free Videos tab above and click on Advanced Knitting Techniques. There you will find a section called "Short Rows with Wraps" or something like that.