It's the stuff the server sends out BEFORE it sends out the head and body of the HTML page.

It contains the HTTP status code for the URL, a new URL if the status code was for a redirect, as well as the MIME type and size of the following HTML document, the date and time, cookie information, and some stuff about the type of server used by the website.

You can see it by using the Live HTTP Headers extension for Firefox.

HTTP/1.1: HTTP Message:
[w3.org...]

HTTP/1.1: Header Field Definitions:
[w3.org...]