A migration is special class usually derived from DataMigrationImpl through which you can tell Orchard what kind content parts and content types you wish to create and store in the database, including their fields and settings. In most cases you want to place a file called Migrations to your project root, but if you have more than one of them (e.g. because you have multiple features with separate migrations) you may want to place them in a subfolder called Migrations to keep your project root clean.
This page and many others here are part of the open source, portable package of Orchard goodies: the Orchard Dojo Library. The Library is freely accessible by anyone; just go to its repository to download its full content (you can even download the textual content of the Library as a big concatenated document in HTML), file issues or fork it! You can even edit it online on Bitbucket, just click on the Edit link in the upper right corner!