IGMP stands for Internet Group Management Protocol.
IGMP is found amongst multicast groups, which use the protocol in order to join or leave the group.
A simple example would be a live streaming video/audio broadcast, which in order to receive, you need to be part of the mutlicast group to which it is being broadcasted to, so your computer sends a IGMP message asking to join to multicast group and suddenly you start receiving the video/audio transmission to your pc.
If you do not understand the concept of 'Multicast' I'd suggest you check the mutlicast section under 'Networking--> General'.
There are a few different versions of the protocol, version 2 being the latest one. RFC 3376 defines IGMP v2.
The IGMP protocol is an extremely interesting protocol and is already on the list of protocols to be analysed on the website.