A retrograde orientation is one that has the ship facing in the opposite direction from its direction of travel in its orbit.
A retrograde burn is one in that direction, i.e. that subtracts from the ship's orbital speed.
The effect of a retrograde burn is to lower the orbit's altitude (opposite the ship's current location); it is thus used when approaching a planet or moon and assuming a closed orbit, or when landing.
See also: http://en.wikipedia.org/wiki/Retrograde