"Show, Don't Tell" is a classic line editors are known to lament when working on a manuscript. We frequently read books where the author has forgotten this well-known, but easy-to-forget rule. You want your readers to experience the story through your characters thoughts, feelings and actions, NOT by reading your narration.
Not sure what the difference is? Consider:
Tell: In a horse story - "the horse had been ridden all day and he was tired."
Show: "After a long day of hard work, the horse's head hung low and his hooves dragged along the ground."
Tell: "When Billy threw his baseball through the Hendersons' window, he was terrified."
Show: "When Billy threw his baseball through the Hendersons' window, his heart began to race."
Dialogue can also fall victim to "show, don't tell" as characters explain their actions to their fellow characters. Your readers will appreciate less tell, more show.
To add a little confusion to the mix, there are times when a little "tell" is okay. When? According to James Scott Bell ("Exception to the Rule". Writer's Yearbook 2003 (F+W Publications): p. 20.) "Sometimes a writer tells as a shortcut, to move quickly to the meaty part of the story or scene. Showing is essentially about making scenes vivid. If you try to do it constantly, the parts that are supposed to stand out won't, and your readers will get exhausted." Showing requires more words; telling may cover a greater span of time more concisely. A novel that contains only showing would be incredibly long; therefore, a narrative can contain some legitimate telling. (wikipedia)