Refraction occurs when a wave moves from a material with one density into a medium with a different density. All waves refract, however we most frequently use the properties of refraction with electromagnetic waves, especially light.
Refraction means that the light waves are bent, or change direction when they enter a new medium. This happens because as the wave enters the new medium it changes speed. Remember that light waves are made of crests and troughs. If we think of the wave front as the top of one crest of a wave, then as one end of the wave front enters the new medium it changes speed, however the other end which has not entered continues at the old speed. This difference of speed causes the wave front to bend which we detect as refraction.