What it means
Some brokers pass orders to an exchange; others, common in forex and CFDs, take the other side of your trades themselves. Always check that a broker is regulated where you live.
In practice
Your broker decides what you can trade, what each trade costs and how your orders are filled. Compare the total cost (spread plus commission plus overnight financing), the platform, and how deposits and withdrawals work, not only the advertised leverage.
A broker that routes orders to an exchange earns a commission whatever you do. One that takes the other side of your trade profits when you lose, which is a conflict of interest worth knowing about even when the firm is honest.
What to watch for
Unregulated offshore brokers attract traders with very high leverage and bonuses. If the firm fails or refuses a withdrawal, there is nobody to complain to. Check the licence on the regulator's own register, not on the broker's website.