Your [network] gateway is a computer/router on your network that gives you access to any addresses that aren't on your local network. Your network gateway will be the "failsafe" so that if the address wanted isn't accessible from your PC, it'll ask the gateway. Main example being, addresses used on the internet aren't on your LAN, so they'll be routed through your gateway.
Assuming this is a setup question or something, if you're on a network, you'll want to enter this. If you've just got a small setup with a DSL/cable router, then it's probably something like 192.168.1.1 - check your documentation, although DHCP (which gives the information automatically) is typically used. If you're on a corporate network then check with your network admin.