Tuning involves adjusting pitch to keep the proper space between each note, so that when you play an E, it actually has the value of an E and not an E flat or F. While an out-of-tune instrument may sound okay to you, it will sound off when played with other instruments.
Tuning is fairly easy as long as you have an electronic tuner, though the method of tuning differs from instrument to instrument. For a trumpet, tuning involves playing an open C. For guitar, you need to tune each string to the proper note value. When you start, your instructor can teach you how to properly tune your instrument. As you play and train your ear, you can learn to tune your instrument without the assistance of a tuner.