javascript:
is the URI scheme (like http:
or https:
or ftp:
or file:
) for immediate-execution javascript. Javascript URIs can be set as the "URL" of a window, both the top-level window or an iframe/popup/etc. They execute in the context of the currently-loaded origin and page, so it's equivalent to injecting a script tag into the page.
Outside of malicious operations (such as excessively open redirects), javascript: URIs are usually used for "bookmarklets", where you create a bookmark in your browser that contains a little bit of script you might want to run on an arbitrary page. Then, when you're on the page, you can "go to" the bookmarklet, which just runs that script snippet on the page. An amusing example is featured on this page: http://kathack.com/
From a security perspective, javascript: URIs are usually not commonly used in attacks, but sometimes they're the most practical option. If you can control the location of a window, but nothing else, javascript: URIs are an option (along with data: URIs) for injecting arbitrary content into the page context. Most other times, it's easier to manipulate the actual HTML, though (by injecting a script tag, or an HTML element with event handlers, or changing the content of an existing JS block / invocation).