Ten Ton Hammer has an article today explaining the need for instances for those who are new to WoW.

Instances are smaller confined areas of a larger area/keep/dungeon that are very special. These areas are specifically harder than the other areas in the game and are enabled for a group or a raid to interact with it privately without allowing anyone that isn't in your group or raid to enter into your copy of the instance. Each group/party get their own copy of the dungeon (or instance) to interact with meaning that no one else can enter into that area and makes the encounters more difficult by establishing hard numbers on the number of participants.

This is particularly helpful for those who are new as all were at one point. *g*