Colour grading is a post production technique used in almost all modern films. the purpose of it is to correct footage, often due to lighting issues or the colour of the environment you may be filming in, a film may look too much of one colour, for example someones skin might look almost blue. Colour grading is what is used to correct this, as you are essentially altering the colours of pre existing footage to make it look less blue, less orange etc.
Colour Grading is made up of two main components: exposure and colour. Exposure is how much or how little, of a certain light level there is in that shot, for example a shot might not have many highlights when it is raw, but the highlights can be boosted using colour grading. While exposure is more of a lighting thing than a colour thing, it is an essential pre cursor to colour grading.
Colour grading itself is where a filter is applied over a certain level of light to change its colour, this is to make it look better on screen. If the mid-tones of the shot look to green, the reds may be boosted to even it out.