Nora, in order to obtain a loan for money to be used for her husband's medical treatment, has forged her father's signature on the loan application. This is the thing Krogstad is holding over her and threatening to expose.
We are first told nothing specific about Krogstad except that he is a lawyer with a rather seedy past. When Krogstad begins threatening Nora, he reveals that he once committed an "error" similar to hers, but that in his case the revelation completely destroyed his reputation and made him an outcast in society. Later it's revealed to Nora by none other than her husband Torvald that Krogstad's crime was forgery. Torvald seems to think that this would not have been such a terrible offense if had Krogstad not evaded punishment from the law by using various "tricks and subterfuges."
In other words, both Nora and Krogstad faced the decision of whether or not to commit a crime, and both did commit one (the same one), albeit for different purposes. This is the point which Krogstad, in his threats against Nora, says makes no difference, while her thinking is basically that she's innocent of any real crime because 1) she did it to save her husband's life (and also to save her father, who was himself dying at the time, from being worried with such a thing), and 2) she has made all the payments on time to re-pay the money and there is in fact only one more installment left.
The key issue here is more that of Nora's desperation to keep the knowledge of this from Torvald, than it is the possibility of her being thrown in jail for forgery. While she and Krogstad may have both made the "wrong" decision in the past, her position as a woman in nineteenth-century society creates different, and more terrifying, consequences for her. And in fact, later in the play, when Torvald does find out about her "crime," he launches into a shocking stream of abuse at her, which leads her to conclude that her marriage to him is unsustainable. When she closes the door on him in the famous ending, her own fate from this point is an unknown.