It's how many of the coin, security, etc were traded on that exchange in the last 24 hours; you can also often find volume measures for shorter time periods, depending on the tools you're using to present the data. As the previous answer said, it's used as an indicator for how strong a price trend is; for example, with OKCoin's 24-hour volume of roughly 400 BTC, it's not a very reliable price tracker for the overall price of BTC. Its 24-hour volume of 1.6 million BTC weekly futures means that's a much more reliable measure, though of course futures are not entirely a measure of the current price but also of expectations for the trend.