We'd need some context to tell you exactly...

Deep linking usually means linking to an interior page in the site that isn't easy to get to from the home page. For example, linking to a page that is a level or two down in the navigation, that would normally require multiple clicks from the home page.

An example:

-- home
    -- sub
    -- sub
    -- sub
        -- sub 2
    -- sub

Linking from the home page to the "sub 2" page (which isn't possible to get to from the home page using the regular navigation) would be considered deep linking.

More info: http://www.useit.com/alertbox/20020303.html

This can also apply to linking to a specific interior page in someone else's website, rather than their home page.