Continuous Integration is a software development technique where developers integrate their work frequently. Some of the key benefits of continuous integration are that integration problems are found early, that we get feedback on build-breaks and compatibility issues early, continuous unit-testing as part of the build process and constant availability of a latest build that can be used for testing and demonstrations.
Idealy this process is automated so that the software project is built and tested continuously. Currently Team Foundation Server has no built-in process that provides this out of the box, but through the extensibility APIs in TFS it is possible to build. TFSBuildLab implements a continuous integration process what can be configured to tigger on either user-actions (checkin events) or on schedules (like for instance a nightly build).
For more theory on Continuous Integration, see Martin Fowler's article on continuous integration: http://martinfowler.com/articles/continuousIntegration.html