Concatenation is a quite lengthy title to describe the process of combining multiple files together to make one file.
Most often, this process is used to combine multiple JS and CSS files into one file, which is downloaded once, instead of multiple files (from multiple sources).
When done right – in a manner which works!! – this can be combined with a CDN and give your website a real speed boost. Also browser caching can be employed to deliver near instant pageloads for your site.