"The fourth wall" is an expression stemming from the world of theater. In most modern theater design, a room will consist of three physical walls, as well as a an imaginary fourth that serves to separate the world of the characters from that of the audience.
In fiction, "breaking the fourth wall" often means having a character become aware of their fictional nature. This can range from your character advising you to "Press X" in a tutorial all the way to Psycho Mantis reading your memory card and mentioning the other games you've been playing. However, the most direct violation of the fourth wall would be a character openly acknowledging they are in a video game or even directly speaking to you, the player, instead of to your character.
(Jak 3:)
Monk: This isn't a game!
-Jak and Daxter look toward the player with confused expressions-
(Dragon Age 2:)
Ghyslain (when a quest from him is available:) Does no one see this exclamation mark above my head?
(Other:)
Man: Have you ever wondered why everything we do is controlled by-
Dog: Stop! Breaking the fourth wall is a bad idea!
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