Partitioning your hard drive is taking your "physical drive" which is your actual hard drive and splitting it up into "logical drives".
Example, You have one 60 GIG hard drive. You could split that physical drive into two 30 GIG logical drives or have one 20 GIG and one 40 GIG logical drive or any mathmatical combination possible. You can go even further and have multiple logical drives of 3 or more if you want. Dual-boot machines require partitioning as each OS needs its own drive.
Some people such as myself partition their drives so that I can keep my data (movies, pics, mp3's etc etc) separate from my OS so that when I reinstall Windows I don't lose everything nor do I have to back it up to CD/DVD before my reinstall.
If you want to partition, Windows again will guide you through the process but it is not necessary and you will be fine leaving your drive alone.