Knitting instructions sometimes will tell you to "wrap and turn" in the middle or a row when you are knitting short rows. Short rows are handy because they allow you to add length or width to one part of your knitting but not all parts of the project.
This instruction is commonly seen in sock knitting patterns, for example, because short rows are often used to shape the heel cup and turn what's been a straight piece of knitting into something sock-shaped.
The wrap and turn is necessary to help prevent holes at the sides of your heel (or any other piece of knitting) where the gaps occur when you turn the knitting before completing the row. Sock knitting patterns do not always call for a wrap and turn, but you can always do one if you want to make sure you don't end up with gaps in the back of your sock.
To accomplish a wrap and turn on the knit side or with a knit stitch, work to the stitch that is meant to be wrapped.
Slip the next stitch as if to purl, then bring the yarn to the front of the work and slip the stitch back onto the left hand needle. You'll notice the wrap sort of covering the stitch form the previous row.
When you turn the knitting to work the wrong side, the yarn is in position in what's now the front so you can purl to your next turn.