A conversion occurs when a visitor reaches a goal. Goal Conversion Rate is the percentage of visits which resulted in a conversion to at least one of your goals.
I cant link anything yet, but check out Google's official YouTube Channel there are some good instructional video's there and there should be some nice posts on Kiss Metrics.
In Online Advertising it is the percentage of visitors who take a desired action (e.g. make a purchase or click an ad).
hope this helps: http://analytics.blogspot.com/2009/05/how-to-setup-goals-in-google-analytics.html it's detailed and easy to follow step-by-step guide on setting up goals