What does this mean?

[Stix]

Instead of writing your program to a file, you may run the stand-alone interpreter in interactive mode. If you call Lua without any arguments, you will get its prompt:

Lua 5.0 Copyright (C) 1994-2003 Tecgraf, PUC-Rio
>

[Sergey]

It means you can execute Lua statements right in your console window without being saved in lua script file and then executed.