A "conversion goal" is an event you'd like to see happen on your web site. It might be someone signing up for your service, or making a purchase. It's the end goal you're trying to track.
These events are tracked based on URL or action on your website, or by an in-app event for mobile apps. For example, if you wanted to track someone signing up for your service and users are sent to /thankyou.html after they sign up, then that's the URL you'd use when adding that as a conversion.