A folio is an old fashioned kind of book, typically made of large folded sheets of paper. In the 1600s, many of Shakespeare's plays were printed in the form of a folio.
The word folio means "leaf or sheet of paper" in Latin. A folio is made by folding one piece of paper in half — counting each side, this gives you four pages. A larger folio is simply a collection of many folded sheets bound together. In the early days of printing, the fanciest books were folios. Another method was the quarto, with two folds in each sheet and pages that had to be cut open after they were bound.