Basically it's a little piece of metal, normally on your outboard, that is designed to corrode and sacrifice itself in order to protect the other metal in your motor. They are commonly made of Zinc.
On outboards, there is typically one which serves the dual purpose of acting as a small trim tab and anode and you will typically find it above the propeller.
After a number of years they actually corrode and you then have to replace them, to keep your motor protected.
I hope that helps a bit.
-Chris