In an IT project, it's the process by which you manage specification changes.
In an unmanaged project, most client's requests are accepted, thus having and endless, costly project which very likely won't satisfy your customer's needs.
Let's say you're in a team developing a payroll system. Specs should include all inputs, outputs, processes, budget, etc., and should be signed on a contract. Part of the contract is the change procedure, including a change request form the customer can use. If the customer needs changes, she should request it to the project manager, who gathers a change management team who analyze the change request and give a verdict: can't be done, or can be done with a cost: time, money, usually both.
The idea is that customers are made aware that changes cost, and that they should put a lot of effort in the requirements specification stage.