A stored procedure is a set of precompiled SQL statements that are used to perform a special task.
Stored procedures are a batch of SQL statements that can be executed in a couple of ways. Most major DBMs support stored procedures; however, not all do. You will need to verify with your particular DBMS help documentation for specifics. As I am most familiar with SQL Server I will use that as my samples.
To create a stored procedure the syntax is fairly simple:
CREATE PROCEDURE <owner>.<procedure name>
So for example:
CREATE PROCEDURE Users_GetUserInfo
SELECT * from [Users]
Stored procedures also have a security benefit in that you can grant execute rights to a stored procedure but the user will not need to have read/write permissions on the underlying tables. This is a first step against SQL injection.