HTTP = "HyperText Transfer Protocol" - "Hypertext," of course, means the blue, underlined "links" you see on web pages that you can click on to go to another web page. "Transfer" means the process of delivering the web page to your computer from some other computer on the Internet. "Protocol" means the same thing as a language or set of rules (or if you want to know the dictionary definition, it is: "a standard procedure for regulating data transmission between computers"). So, if you put them all together, "HyperText Transfer Protocol" means the set of rules that allows you to transfer pages that have clickable links on them.
The "http://" you see in web site addresses tells your computer that the part after the "http://" is a document on the Internet and that your computer needs to follow the set of rules established for the transfer of web pages from one computer to another in order to get this document. Most modern web browsers, such as Netscape Communicator (Navigator) and Microsoft's Internet Explorer, allow you to just type in the web site address without the "http://" part, or in some cases, just the unique part, such as yahoo. You no longer have to type in the entire web site address.
(Here are examples of hypertext links, which will take you back to the Previous Page or Home Page, or allow you to print this page:)