A protected page is a page where normal users are prevented from editing and/or moving at all. Only a user with sysop permissions can edit or move a protected page. Likewise only sysop users can protect/unprotect a page in the first place.
A particular page might be protected because they have been repeatedly targeted with vandalism or moved to bad titles, or where it is believed that vandalism or page moves would have a big impact.
For sysop information see Help:Protecting and unprotecting pages