'stdafx' is just the default name for the 'precompiled header directive'. The headers that included in stdafx.h are compiled once, and the information is saved to disk. When a file includes stdafx.h, the compiler just loads the precompiled data instead of re-parsing all the headers. Typically, more times is spent parsing header files than actually compiling your code, so using precompiled headers can dramatically speed up your build times.
stdafx.h is Visual C++ specific pre-compiled headers artifact.
In precompiled headers mode VC++ ignores all lines before #include "stdafx.h". You may switch on/off this mode in Project Properties | Configuration | C/C++ | Precompiled Headers tab.