When you buy a pay as you go mobile it'll be for a certain network and come with simcard. Say you buy a vodaphone pay as you go mobile phone.
Now sometimes people want to be able to use the handset with another sim-card and hence use another network like orange or O2 or whatever.
Some mobile phones are "sim-locked" ie they will only work with sim cards from the provider you bought it with. A vodaphone pay as you go mobile will be simlocked to only be able to use the vodaphone network, orange will be simlocked to orange etc etc. In order to be able to use a phone on any network which is simlocked to a specific network you need to get it "unlocked". This can be done a variety of different ways, sometimes it's as simple as just punching in a certain code etc. The unlockers you download tell you how to unlock each model or what code to type in or whatever is required.
Alternatively read this ....
http://en.wikipedia.org/wiki/SIM_lock