You might remember (from school) the derivation of the differential equation for a column under an axial load. When the column deflects (Delta-1), the axial load (P) causes a secondary moment (PxDelta-1), which in turns causes additional deflection (Delta-2), which causes additional moment, etc.. The differential equation is the solution to this problem.
dik's answer is also correct with regard to a system of members. It is basically, additional loads on members (or the system) due to deflection from the applied loads.
If you do not apply the P-Delta condition to your member or system, you are required to determine the "moment magnification" of each member under axial load. The moment magnification equation(s) are derived from that differential equation mentioned above. Depending upon the characteristics of the member and the loading, the magnification ranges from negligible to significant.