Steganography is the practice of concealing a file, message, image, or video within another file, message, image, or video. In this case, it's everything in an image. So hiding an image in an image or a video in an image, even programs can fit in an image.
How it works is pretty simple. You choose an image where you want to hide stuff in. Then you choose a file you want to hide in that image. First the program converts the file into a bit-string. Then every bit is stored inside the least significant bit of every pixel.
Since an image has 4 channels (red green blue alpha), we can store 4 bits in a pixel, so 1 Byte every 2 pixels.
The image will be changed of course, but because it's only 1 bit, no one can see that the picture looks different. The size will increase dramatically though, because the picture can not be compressed that well.