A miniature wargame is a strategy game in which two or more opponents compete in a military conflict of some kind. Unlike strategy games such as chess or Risk™, the game is played on a table using miniatures to represent the troops each player commands. The rules describe how the miniatures move, what enemies they can see, how they fight and when they might flee the field. The players try to use the abilities of their troops to defeat the enemy or achieve a specific goal such as conquering a village or taking control of a hill or bridge. Wargames are closer to a simulation of the conflict than other abstracted strategy games.
Miniature wargaming is a hobby that often also includes the collecting of the troops, painting the miniatures, modelling of buildings and terrain and the study of (military) history.
See Wikipedia for more information on Miniature Wargames or Wargames in general.