A conceit is an extended, clever metaphor that is usually considered pushed to its end degree. In "Valediction: Forbidding Mourning," Donne is speaking to his wife, whom he must leave to go on a trip abroad. Throughout the poem he has used a variety of metaphors to explain that he and his wife's love is superior to everyone else and that it can more easily undure a separation, because it is so strong.
He uses a conceit in the last three stanzas of the poem to better illustrated how their relationship works. He says, if we are two people, then let us be two like the two legs a compass. (The kind of compass you would use to draw a perfect circle.) He explains that he is the fixed foot in the center -- it holds the other leg in position and keeps it in line so that it can do its job, and return to where it started and therefore make a perfect circle. If Donne, then, is the moving foot -- he is the one that must "run," but because of her steady love, he will return, "and make me end where I begun."
The is a great example of a metaphysical conceit in poetry. Compasses are NOT an obvious symbol of love, but with twleve short lines he makes his love and connection to his wife perfectly clear! It is very clever, extended, and "pushed to the limit."