Just what it says - your 'scope probe (and the 'scope itself) has a resistance and a capacitance. These might be important if the circuit you are measuring will be influenced by the load the probe puts on it. For instance, a very high impedance circuit (like 10's of MΩ) will definitely be loaded and therefore altered by a normal probe. So you won't get a true reading of the circuit.
The oscilloscope itself has a standardised 1MΩ in parallel with 20pF across the input.
x1 and x10 probes are common. The x1 probe is basically just a wire. The x10 probe has a series 9MΩ resistor in probe, and a frequency compensation capacitor of 2.2pF variable. So, the 'scope and probe together form a 1:10 divider while increasing the input impedance of the probe.
Other x10 (and higher) schemes are possible, but the principle is the same.
There's a good document here:
**broken link removed**