Hijab (حجاب) is the Arabic word for "to cover", and in general, means to be modest.
Sometimes, the word is used in particular to mean the "covering" of a woman's head and hair in Islam. The Arabic word used to specifically mean this, is "khimār" (خمار). This "veil" can come in several different types, such as just an ordinary veil (which only covers the head), and a burka, which covers the entire body. There are many styles to wear.