'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.
Some additions: 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.