Jake is right, but there is another 'setup.'

An steel string guitar (electric or acoustic) sometimes will be out of whack where it doesn't tune up right. Some chords sound in tune and others don't. You keep tuning it up, but it still sounds out of tune. If this is your problem, you need to have someone do a 'setup' on your guitar. This consists of

1. moving the saddles to fix the intonation (making the 12th fret note the same as the open string).
2. straightening any warps in the neck.
3. filing/resetting any worn/imperfect frets.

Lots of repair guys do a bad setup. But a good setup is a thing of real beauty.

I know a guy in Berkeley, CA who does a good setup. I think if I ever move away I will still bring my guitars to this guy.

Most new guitars need a setup right out of the box. My Martin D28 (a beautiful and very expensive guitar) was a real drag to play until I had a setup done.

Hope this helps.

Jon