"Mounting" is most often applied to CD/DVD drive emulators as mentioned above - but any time an operating system is discovering a new filesystem (such as when you plug in an USB drive) and making that filesystem ready for use and accessible to applications, that process is what mounting is.
When Windows first boots, it mounts the C: drive and all other NTFS-formatted partitions found on the harddisk at that time. Filesystems are unmounted (safely closed and all cached writes flushed out) when you shut down the computer.
You may have heard of mount points as well. These are basically the points of connection through which you access the mounted filesystem. Typically, drive letters are the mounting points in Windows, but it's also capable of mounting a drive (partition with NTFS filesystem on it) as a folder within another drive. In this case, the folder is the mount point.