DRM (Digital Rights Management) is a set of practices and technology used to protect digital content from being accessed, copied or distributed illegally.
It works using a licence based encryption which can be tied to a device, or more commonly an account. Examples of this include games, streaming content services.
With DRM enabled content you often need to have an active internet connection. Obviously this makes sense if you are playing an online multiplayer but may cause issues with single player games, though some now only require a periodic online check.
Another example would be if you are listening to music from a streaming service and loose your internet connection you may find suddenly you have no music, though again some offer the option to download some content for offline use again often needing a periodic online check to keep the content available offline.
Pros
Cons
A properly optimised DRM should have a very minimal unnoticeable impact while in game. You may note a slight increase in load time as it checks and again the occasional stutter or drop in frames as the checks complete.
An alternative to DRM would be something like GOG which lists DRM free games, DLC and mods.
The benefit of these is you do not need an internet connection in order to run the game. Also game preservation, while some games such as Old School Runscape are archived online it's often the case when older games with DRM protection either drop below a certain player level or simply are no longer relevant the game can no longer played as the games servers go offline.
DRM is becoming a common feature in modern gaming and media, while for console players often you can still purchase physical media this is less common with PC's, think of when you last saw a CD or DVD drive on a PC.
While you have a choice when it comes to DRM enabled or DRM free content it is often the case the DRM enabled is for the latest releases while DRM free is more common on older titles it often works out best to mix your selection between these two forms as neither interfere with each other.