What does "#pragma comment" mean?

The answers and the documentation provided by MSDN is the best, but I would like to add one typical case that I use a lot which requires the use of #pragma comment to send a command to the linker at link time for example

#pragma comment(linker,"/ENTRY:Entry")

tell the linker to change the entry point form WinMain() to Entry() after that the CRTStartup going to transfer controll to Entry()

Pragma directives specify operating system or machine specific (x86 or x64 etc) compiler options. There are several options available. Details can be found in https://msdn.microsoft.com/en-us/library/d9x1s805.aspx

#pragma comment( comment-type [,"commentstring"] ) has this format.

Refer https://msdn.microsoft.com/en-us/library/7f0aews7.aspx for details about different comment-type.

#pragma comment(lib, "kernel32") #pragma comment(lib, "user32")

The above lines of code includes the library names (or path) that need to be searched by the linker. These details are included as part of the library-search record in the object file.

So, in this case kernel.lib and user32.lib are searched by the linker and included in the final executable.