Modulation is when you play notes that belong to only two keys. By doing so the listener is supposed to lose sense of what the key is. For example you can have a part in C Major, modulate, and then play in G Major.

You can try it with a progression like this to hear it>

C major C major F Major G major x3
C major C major G major G major x1 (modulation)
C major C major F# diminished G major x4