A dream journal is a journal kept beside your bed to write down your dreams immediately upon waking. If you wake in the middle of the night from a dream - record it. When you get up in the morning, immediately record any dreams you remember. Dreams are less likely to be remembered as the day wears on.
Every once in a while, you go through your journal to see if you can discern any patterns, trends, repeating dreams, repeating figures, etc. that will give you a clue as to what your dreams mean. For help, you can purchase various "dream" books that will help you interpret them.