Modding in games is basically adding modifications (created by you or others) to the original game by some kind of software to add content into it and create your own experiences. For instance, in modded Skyrim, you can create and add your own custom spells, perk trees, add enemies, add new lands - the possibilities are endless. While it can be done on consoles, the manufacturers usually forbid it and it's far more risky so it's mainly done in PC games.