To preheat is to make something become hot beforehand, especially an oven before you bake something in it. Frozen pizza tastes better if you preheat your oven before you cook it.
You're most likely to find the verb preheat in a recipe. You might want to preheat your grill for a certain length of time before the guests show up for your barbecue, or preheat your oven before baking a loaf of bread. Preheating ensures that you'll be cooking food at an even, steady temperature and makes it easier not to burn or undercook it. A clue about this word's meaning is the "before" prefix, pre-.