Validation is using a program that will go through your HTML and check for accuracy against the DOCTYPE you have chosen. If there are any inconsistencies in your HTML from your DOCTYPE, the validator will give you an error message to help you track down the error and fix it before considering the work "done".
A few reasons for validation (NOT, of course, a complete listing):
To validate your page, choose a DOCTYPE and place the statement at the VERY top of your HTML (above the <HTML> tag). Then upload and go to one of the validator sites below and follow the instructions. It may take a little work finding the right validator for you, but keep trying, the results will be clean HTML!
For further information see the article Stop! Is Your HTML Document Valid? at http://www.irt.org/articles/js138/.