The literal translation of this word would simply be "a large molecule". This is too broad and subjective, though, and in practice a macromolecule typically refers to specific groups of molecules which are formed by chaining specific types of smaller molecules together. A good analogy is a brick wall, where the wall is the macromolecule and the smaller, chained-together molecules are the bricks. These smaller molecules, the bricks, are called monomers (meaning "one part") and the brick wall, the macromolecule, would then be a polymer ("many parts"). Most, but not all, macromolecules are polymers. The exact definition and classification of macromolecules can also depend on the discipline being used to evaluate them, but I assume we're coming from a biological perspective.
Not all macromolecules are essential to life, but four are considered "primary" macromolecules for biology; nucleic acids, proteins, lipids and carbohydrates. There are many useful analogies that can help to make sense of their similarities and differences; I like to use an analogy to different types of motor vehicles. For example, trucks, buses and cars all have different uses and abilities, but are built out of fairly similar parts and arranged in fairly similar ways. Likewise, macromolecules can have different uses and abilities within the organism, but each type of macromolecule is built out of similar parts which are arranged in similar ways, making them categorically comparable.