Lockup

is a situation in which the brakes make the tires completely stop turning. This can cause serious tire wear when done too frequently, and, more often than not, makes the car spin out.

Physics
Almost all cars have a hydraulic braking system. The hydraulic fluid creates pressure which causes the brake pads to make contact with the brake rotor. When done carefully, it will bring the car to a fast, efficient halt. However, when done too hard, the pressure and friction created between the pads and rotor will stop the rotor dead, which causes the tires to enter a slide.

Avoidance
The best way to avoid lockup is to set your ABS setting to 1, so that it's just enough to prevent lockup but also enough to get the car slowed down.

Another way is to slowly ease on the brakes, keeping in mind your car's power-to-weight ratio. Lighter cars with more power are generally more sensitive on the brakes.