Why don't you just google it?

It's one of C/C++ compiler preprocessor, it tells the compiler to choose what line of code to be compiled if it meet some condition.

Let me explain using examples:

#include<bits/stdc++.h>
using namespace std;
int main()
{
	int x;
	#ifdef _use_cin_cout
		cin >> x;
		cout << "I use cin/cout! x=" << x << '\n';
	#else
		scanf("%d",&x);
		printf("I use printf/scanf! x=%d\n",x);
	#endif
	return 0;
}

If you compile the code above with g++ -o x x.cpp -D_use_cin_cout the cin/cout code will be executed, if you compile it normally without -D_use_cin_cout option it will use scanf/printf.

It also good for debuging you don't need to comment out the debug code when you ready to submit, just use ifdef something and compile it with Dsomething

Other useful example is in USACO contest the submitted code is expected to use file as I/O while when I test my code locally I use console stdin/stdout. To settle this (without changing any code when submitting) i use something like this:

#include<bits/stdc++.h>
using namespace std;
void init(char *S)
{
	char I[99],O[99];
	sprintf(I,"%s.in",S);
	sprintf(O,"%s.out",S);
	freopen(I,"r",stdin);
	freopen(O,"w",stdout);
	return;
}
int main()
{
	#ifndef my_name
	init("problem_name");
	#endif
	//code here
	return 0;
}

so when I test my code, I will compile it with g++ -o x x.cpp -Dmy_name the compiled code will use console stdin/stdout (ifndef means if not defined), and I don't need to change my code when I want to submit this to USACO because of course USACO didn't compile it with -Dmy_name or have #define my_name in their system :) And don't forget to change "problem_name" when switching to other problem.

Other useful example is to deal with scanf/printf problem with %lld and %I64d it's system dependent but because gcc will define "__unix__" if it run under linux, I can use this piece of code:

void my_print_ll(long long x)
{
	#ifdef __unix__
	printf("%lld\n",x);
	#else
	printf("%I64d\n",x);
	#endif
	return;
}

Of course I won't use that trick because it'll be much easier to use cin/cout, but I just showing you what power #ifdef and something similar can do.

For more detail (there are a lot more examples) you can search it on the internet yourself.