In computing, to download means to transfer data (text, image, audio, or video files) from a remote source "down" to one's computer. In most cases this means copying files from the Internet, i.e., from a Web or FTP server. The opposite of download is upload, as in sending a file from your computer to a website.
The term download implies that the file is saved to your computer's hard disk. Actually any web page and image on it is downloaded to your computer's RAM (and often, hard disk cache) before it can be displayed, but most people don't call this process downloading as the file storage is only temporary.