To choreograph is to make a dance, designing each move for a dancer to perform. Some dancers choreograph their own dances, although usually a choreographer does it.
A dance, whether ballet or bhangra, is made up of a sequence of movements and steps — when you plan those movements, you choreograph. You might also choreograph other kinds of routines, like figure skating, cheerleading, or a marching band performance. You can even use the word to describe planning things that don't involve physical movement: "My boss is a control freak, so she'll probably choreograph the whole meeting." The Greek roots are khoreia, "dance," and graphein, "to write."