A carrier wave is a waveform (usually sinusoidal) that is modulated (multiplied) by a signal that is to be transmitted. This carrier wave is of much higher frequency than the modulating signal (the signal which contains the information).
The reason for this is that it is much easier to transmit a signal of higher frequency, and the signal will travel further.
Carrier waves are used when transmitting radio signals to a radio receiver. Frequency Modulation (FM) and Amplitude Modulation (AM) signals are both transmitted with the help of carrier frequencies. The frequency for a given radio station is actually the carrier wave's frequency.