From The TV IV
The fourth wall is the imaginary barrier between the audience and the characters in a work of fiction. It was named because sets are usually built with three walls, on the left, right, and in the rear. The front wall is left out so that cameras (or the audience) can see the action.
The fourth wall is usually mentioned in the context of it being "broken." This means that the characters appear to be aware that they are on a television show (or in a film, etc). The two ways in which the fourth wall is typically broken are when a character turns to address the audience directly (as frequently done by David or Maddie in Moonlighting), and when the characters make a self-referential comment for comedic effect (such as a Cheers episode in which Woody, ostensibly referring to an actress who quit working on Godzilla movies, comments "I don't understand why an actress would leave in the middle of a successful series," the joke actually refers to Shelley Long's decision to leave Cheers near the height of its popularity).