Jo introduced us to the idea of a Horcrux back in her second Harry Potter book: Harry Potter and the Chamber of Secrets. In CoS, we see Tom Marvolo Riddle bit it in the final scene when Harry destroys the Diary that caused all the turmoil throughout Harry's second year at Hogwarts.
Little did we (the reader) know, but that Diary housed a precious piece of our villian's soul. In the sixth Harry Potter book, Harry Potter and the Half Blood Prince, Jo explains through her brilliant story-telling that a Horcrux is "is a magical object created through the use of the Dark Arts: a 'receptacle in which a Dark wizard has hidden a fragment of his soul for the purposes of attaining immortality.'" (Wikipedia.org)
If you are looking for more information, or further discussion about Horcruxes, we recommend the following:
Leaky Lounge Forums -
Unfogging Deathly Hallows:WHAT are the Horcruxes?
WHERE are the Horcruxes?
WHO Knows About the Horcruxes? (Currently in Part III of the Discussion)
Magical Theory:Horcruxes: What are they and how do they work?
How Do You Destroy A Horcrux? Methods and theories...
How Do You Make A Horcrux? Ideas and theories...
History of Magic:How Do You Steal A Highly Guarded Horcrux?, How did someone succeed in stealing the locket?
Harry Potter Book Club:The Philosopher's Stone Horcrux Hunt!
Scribbulus Essays -
His Own Worst Enemy - by ~mokey
The Mystery of the Number Seven - by MemyselfnI
Harry Potter - The Accidental Horcrux - by Michael Daniel
To Seize or to Receive Power by spectrespecs The Horcruxes in the Light of Regalia and Arthurian Legend
The Harry Potter Lexicon: Horcruxes
Accio Quote: What Jo says about Horcruxes