What does 'Plug and Play' mean?

That no set up is required, you can basically plug it in and it plays.

Plug and play (or P&P) usually refers to an internal (e.g. expansion board such as a graphics card) or external device such as printer or USB hard drive that needs little or no configuration or what little configuration is needed is taken care of the install CD. Most of the time P&P devices do what they say on the box provided the PC is fairly standard. If the PC isn't standard or patches have been made to Windows or there's an unexpected driver conflict then P&P can become Perspiration & Pain (been there, done that, wardrobe full of t-shirts etc.).

It means you can just attach to the computer and it's ready to go. No installation or set up, just put it in, and computer will run it.