It's data that's parallel to your index buffer. It's 3 DWORDs per triangle, specifying, for each triangle T in the mesh, the indices of the 3 triangles U, V, and W, that are adjacent to T across the its 3 edges, in the order specified in the index buffer.
In D3D10, the adjacency data is in the index buffer as well, and since only vertices are in index buffers, instead of giving the triangle index, you give the opposite vertex of the triangle on the other side of the edge (as described here: http://msdn.microsoft.com/en-us/library/bb205124(VS.85).aspx).
