pressure is the weight of all the air molecules above you pushing
down. Although air molecules are invisible to the naked eye, they
still have weight, and because of their thermal
energy they keep colliding with each other. Because there is a
lot of "empty" space between the air molecules, air can be compressed
to fit into a smaller volume.
When air is
compressed, the number of air molecules in a given space increases
and so it weighs more: the air is said to be under 'high pressure'.
The exact pressure is not very informative but the relative changes
in pressure from day to day are important indicators of changes
in weather. For example, a large area of warmer air being blown
in from another part of the world will cause the air pressure to
change many hours, perhaps days, before any indication can be seen
or felt. A drop in pressure usually predicts foul weather, while
a rise in pressure usually means fair weather ahead.