It just means, that it orbits in the opposite direction to all the other planets, or rotates in opposite direction.
All planets orbit anti-clockwise as seen from the North pole of the sun, that includes all the dwarf planets discovered so far as well. So we don't yet know of any retrograde planets in our solar system as far as I know (including dwarf planets).
All planets except Venus rotate anti-clockwise. Venus rotates slowly clockwise. Pluto is a special case, it has an axis that currently faces almost directly towards the sun - so you can't really say whether it rotates clockwise or anti-clockwise. It's more like it's "edge on".
As for the moons of planets, then the regular moons, which orbit in same plane as the equator of the planet, they rotate anti-clockwise.
But the irregular moons, they can be at any inclination and they generally orbit in retrograde orbits and generally further out than the regular moons
Phoebe (moon) - example of a retrograde moon of Saturn, thought to be a captured moon. Captured moons tend to have inclined orbits, large radius and usually retrograde.
That's because they are moons that are captured after the family formed, and it is easier to capture a moon into the retrograde orbits.
The only large moon in the solar system with a retrograde orbit is Neptune's moon Triton (moon)