That shows what line from which file the given source code was seen.
In this particular case, the definition was in a file called:
This file is part of the gcc compiler header files in the standard includes. This compiler is called gcc (GNU C Compiler) targeted for code generation on an Athlon64 (x86_64) system and is version 4.0.1.
That line starting with the # mark is the result of only pre-processing the C source file including <stdio.h>. I only extracted the two pertinent lines for you (the full contents is large).
Pre-processing occurs prior to compilation where all those preprocessor directives (lines that start with the # symbol like #include, #if... #endif, #define, etc. ) are interpreted and the source file is converted to a readable source file that the compiler can parse. This phase is done automatically when you compile, but you can usually specify only preprocess to the compiler for debugging purposes or if you write tools to analyze the processed C code.
A little long winded, but I have a feeling you wanted more detail anyway.