JIT compilation, or just-in-time compilation, is an alternative approach to interpretation of code or ahead-of-time compilation. JIT compilation is used in the .NET framework. The CLR code (C#, F#, Visual Basic, etc.) is first compiled into something called Interpreted Language, or IL. This is lower level code that is closer to machine code, but is not platform specific. Rather, at runtime, this code is compiled into machine code for the relevant system.
Why use JIT compilation?
Wikipedia Page for more information on JIT compilation in general: https://en.wikipedia.org/wiki/Just-in-time_compilation