Best explained here.
http://www.w3schools.com/php/func_mysql_real_escape_string.asp
http://www.tizag.com/mysqlTutorial/mysql-php-sql-injection.php
It generally it helps to avoid SQL injection, for example consider the following code:
<?php
// Query database to check if there are any matching users
$query = "SELECT * FROM users WHERE user='{$_POST['username']}' AND password='{$_POST['password']}'";
mysql_query($query);
// We didn't check $_POST['password'], it could be anything the user wanted! For example:
$_POST['username'] = 'aidan';
$_POST['password'] = "' OR ''='";
// This means the query sent to MySQL would be:
echo $query;
?>
and a hacker can send a query like:
SELECT * FROM users WHERE user='aidan' AND password='' OR ''=''
This would allow anyone to log in without a valid password.