Lincoln delivered this speech in 1863 during the American Civil War on the battlefield near Gettysburg, Pennsylvania. When he said that "the world will little note, nor long remember what we say here, but it can never forget what they did here," he is referring to the Union soldiers who died in battle, fighting for a united America.
Lincoln states that the words spoken on the day of his speech will make little impact in the world, but, by contrast, he emphasizes that the bravery and courage of the soldiers who gave their lives for America will leave an impression that will endure for many years after. Indeed, the impression left by these soldiers endures today in an America that is (very likely) quite different to the America that might have existed if those soldiers, and many more like them, had not fought so bravely.
Lincoln's assumption that his own words would make little impression has of course proven to be inaccurate. His Gettysburg Address has been recorded as one of the greatest speeches in history and is widely quoted today, over one hundred years later.