When speaking of marketing research, primary data is data that you obtain for yourself through research that you conduct. It is to be contrasted with secondary data, which is data that other people have collected and which is already available before your research starts.
When you do your own research you are collecting primary data. For example, you might go through your sales receipts to find out items sell best at your store at certain times and days of the week. You might conduct surveys of your customers, asking them what they do or do not like about a given product or about your store in general. You might conduct observations of the ways in which people move about in your store. All of the data obtained in such research would be primary data because you have collected it yourself, for your own purposes.