Referer
When you access a web-page using a browser like Internet Explorer, FireFox or Safari, the browser sends a fairly standard set of information known as header fields or headers as part of its request for the page. One of these headers is technically known as the Referer, (a known misspelling of 'referrer'). When you type an address into your browser, or use a saved bookmark or favourite, the Referer header should be blank. However, when you click a [hyper-] link on a web-page the Referer should contain the URI or address of the page that the link is on.
Most web-server log files and tracking systems will record the Refer of each page request to help analyse where traffic to a website comes from or the routes or paths visitors follow once at a site.
An example
http://www.google.co.uk/search?q=web+design&num=100&hl=en&lr=&cr=countryUK|countryGB&c2coff=1&safe=active&start=400&sa=N
Having just about managed to find this site on Google somewhere around position 400 and something and clicked the link, the address of the results page was recorded as above. From a marketing and analysis point of view the useful stuff here consists of the referring domain, (www.google.co.uk) and the search that was used to find me, (web+design).
Anyone interested in a more formal and thorough insight into the Refer request-header field or other header field definitions can fill their boots at the W3C's page : http://www.w3.org/Protocols/rfc2616/rfc2616-sec14.html