Macro is an abbreviation for Macromanagement. It typically refers to the choice of and the execution of the overall strategy. This includes choosing a strategy to generate as much income as possible, when to advance in technology or to create as much units as possible.
Strong Macro-players are generally able to optimize the expansion of their bases, resulting in a stronger economy and a larger army.
Macroing focuses on the long-term, whilst microing focuses on short-term precise unit control.