When we say this, we mean that Europeans came to North America uninvited and proceeded to take control of the land without the consent of the Native Americans. In this way, they can be said to have conquered North America.
When the Europeans came, the land of North America, of course, was controlled by the various Native American tribes or nations. The Europeans got to North America and wanted to be able to make use of the land. They took control of that land through force and through agreements with the Native Americans that were (many scholars contend) made through deception and force).
When one group of people comes and takes land that was previously held by another group, they have conquered that land. When they force the people to leave their land, they have conquered the people. By doing these things, the Europeans conquered North America.