A walkthrough is a document that shows how to play through a game and win. With the rise of YouTube, walkthroughs can be done by showing the actual gameplay by using a screen cam to capture the video sent to the screen as a film.
As opposed to a Strategy Guide, a walkthrough is generally more frank in terms of letting you know what you should do and where you should go. While walkthroughs can get very lengthy, their biggest advantage is they can be collaborated on, continually updated, and are absolutely free.
The use of walkthroughs is a controversial topic among gamers. Some gamers equate them to using cheat codes and believe they essentially mar the experience, while others have no qualms about using them quite liberally, having the guide sitting right next to them, reading it as they play. Most gamers fall into some sort of middle ground. Many only resort to walkthroughs when they are really stuck, or when completing sidequests, simply because in many games, they can be obtuse or well-hidden enough to all but require the use of a guide.
While the general consensus is that you should not constantly use a walkthrough while playing a game, there are no doubt numerous examples of games, especially of the classic adventure genre, that had maybe less than 1% of their players never once resorting to a walkthrough in order to beat them. It doesn't help that quite a few developers, most notably Sierra, actually encouraged gamers to buy official guide books to their their insanely difficult games, making even some hardcore anti-walkthrough fans question whether using a walkthrough can even be considered cheating in these circumstances.
Those concerned about spoilers can sometimes find walkthroughs that are vague in a quirky way and provide the most basic information, often dubbed "spoiler-free walkthroughs." Expect turns of phrase like "a scene will occur". The UHS website provides a useful middle ground, allowing the reader to progressively expose more and more detail.
Sometimes, a game is so poorly designed that the player is stuck even for a perfectly obvious solution. In such cases, the only option left is to consult a walkthrough.
One very popular source for walkthroughs is GameFAQs.
Compare Let's Play for a game run with additional commentary and to playthrough which is a casual strolling through the game.