What does it mean when someone says compile Sass to CSS?

Sass is a special scripting language. It is powerful, but browsers don't understand it. They understand just CSS.

So if you want to define your styles in Sass, before you can use them in a browser, you need to first convert your Sass styles to CSS styles.

The conversion process is called a compilation. So when you are compiling Sass, it means you are converting Sass syntax to CSS syntax.

At first you have an input Sass file. And after you compile it, you get CSS file.