This could be the dumbest question ever asked but I think it is quite confusing for a Java newbie.
One meaning has to do with how the value is stored in the computer, For a .Net string for example, it means that the string in memory cannot be changed, When you think you're changing it, you are in fact creating a new string in memory and pointing the existing variable (which is just a pointer to the actual collection of characters somewhere else) to the new string.