It means that you're using 2 pans for your cheesecake. One pan holds the cheesecake itself and the second is much larger than the first pan, so the first pan sits inside it. Fill the second pan with water so that it's most of the way up the side of the first pan. Bake it with both pans, so the water in the one heats up to help cook the other. Your finished cheesecake will have a wonderful custardy texture, much more smooth and creamy than baked the regular way.

Also, use silicone ovenmitts if you have them to take it out. If you splash the hot water onto your hands as you take it from the oven, you'll be hard-pressed not to drop the whole thing!