Pressure is a force per unit area. In the case of this website, we are generally talking about atmospheric pressure or water pressure and we use units of millibars (mb). Atmospheric pressure at the Earth's surface is the result of the weight of the air above the surface. If the pressure is different in two parts of the atmosphere next to each other, there will be a greater force on one side. The part with a greater pressure will exert a force on the other part and this is called the pressure gradient force.
If there are no other forces, then air will flow from the higher pressure to the lower pressure creating wind. Pressure gradients in the atmosphere are typically caused by air of different temperatures.