Setting a pick is similar to blocking in football: one player puts himself between the defender and the ball carrier to allow the ball carrier to move unhindered. The big difference is that you are not allowed to move when you are setting a pick. If a player moves while he is setting a pick, he can be guilty of a foul. This is an offensive foul, and offensive fouls are rarely thought of as a 'good foul' to take.
A pick is a type of screen that a basketball player can set. Remember that screens are a way for basketball player to position themselves to disrupt the movement or positioning of a player on the opposing team.
You may hear someone talk about a pick and roll. This is a preset play where an offensive player positions himself to block a defender from getting to the ball handler, who moves around the pick and into better court positioning.