A sitemap is a list of all the pages on your web site. In addition, a sitemap can list other resources on a page, such as images and videos. You can also add information about how often a page is updated and when it was last changed. A site map can be submitted to search engines, and ensures that all the pages are referenced and crawled.
You can create a sitemap yourself using XML, but this is very complex and time consuming. The easiest way to create one is via free sitemap generators. Do a Google search for sitemaps.
Once your sitemap is generated you'll have an XML file that you can upload to your web space. Place it in the same folder as your index.html web page - the root folder, in other words.
Your sitemap can be submitted to all the main search engines. For Google, you need to sign up for Google Webmaster Tools. But generally, search engines will see the sitemap by themselves, and use it to index your site accordingly.