A walkthrough is a document or other work that shows how to play through a game and win. Thanks to the internet, websites such as the popular GameFAQs will provide walkthroughs of all stripes for players to peruse, from just collectibles all the way to full 100% walkthroughs that cover everything. Many gaming news sites such as IGN and Polygon also have dedicated walkthrough sections of their own, often supplemented with images and even videos. With the rise of YouTube, video-only walkthroughs can be done by using a capture card (or even the console's internal capture software) to record the gameplay as a video file.
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. As such, strategy guide books tend to have much more supplemental information like character backstories, lots of artwork in the formatting, and concept art galleries, as well as official sanctioning from the developer or publisher for assets like maps of the level. Strategy Guides also tend to be available in full at launch.
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, and 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. This is reflected in how many walkthroughs nowadays are written to account for a player who is just dropping in for that specific section, rather than reading from the beginning of the guide or even that specific level.
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", and it's generally good form by a writer to not spoil what will happen in the middle or end of a level before the player has reached that point in the text. 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.
Compare Let's Play for a game run with additional commentary and to playthrough which is a casual strolling through the game, although these can function as walkthroughs since they'll be completing the entire game by their very nature.