A roux is a thickening agent made from equal parts flour and either butter or oil, and is used as a base in soups and stews (and for other things, too). You mix the two in a saucepan over medium-low heat, and stir **continuously** until they incorporate together (you do this to get rid of the ''raw flour'' taste). The longer you cook it, the darker it gets; starts off light brown, which is called a ''blonde roux'', then turns to peanut butter colour, then later to a deep brown, sometimes called a ''gumbo roux''.
NOTE WELL: if you do not stir this puppy more or less continuously until it turns the colour you want, it will start spotting up on you...and you've just burnt it and get to start over. You make roux, you stir, hokay? (g!)
Tune in to Emeril Lagasse on FoodNetwork for more details -- he makes roux as a base for MANY of his dishes.