A drop set is where you basically are doing one long set.

You start with a weight you can only lift for a few reps - 10 or 12. Once you've gone until you can't lift another rep you change the weight, or pick up another set of dumbells and you lift again until you can't lift anymore - this is usually quite a few reps lower than you just did. You continue this as many times as the set requires (a 3 drop set requires you dropping the weight 3 times, etc).

HTH
-Nat