Pruning is the act of removing dead, diseased or undesireable limbs from a woody plant, be it a tree or a shrub.
Pruning small branches (and most shrubs) can be done anytime, although for shrubs and fruit and flowering trees, it's best to wait until after flowering (usually mid- to late summer).
Pruning large branches (anything over an inch in diameter) should be done when the plant is in dormancy, which is usually mid-winter.