This idea refers to the concept that God is made up of three separate beings that are, at the same time, one being. This is a mystery of faith -- that of the Trinity.
According to this idea, God is actually made up of three "persons." These persons are God the Father, God the Son (Jesus) and God the Holy Spirit. Christians believe that these three persons are separate but that they, nevertheless, make up one God.
This concept does not make logical sense. It is impossible to truly understand how three persons can yet be part of one God. However, Christians believe that it is true and that we cannot understand it properly because we are human beings and therefore limited in our understanding.