An IUD is an intra-uterine device. There are two popular types, read more here:
http://www.plannedparenthood.org/health-topics/birth-control/iud-4245.htm
I have had the Paraguard twice (for 3 years before baby #1 and for 1.5 years after). I like it a lot, but it does cause heavier, crampier period for many women.