Hotlinking or directlinking is taking an image (or any file) directly from a site (via "Copy image link" for example) and embedding it on your site. Most small/independent/etc website webmasters don't like their visitors doing this because it steals bandwidth. Bandwidth is basically the amount of data that can be transferred from the website's server to the user (so images, html files and the like – all the stuff that makes the website a website). When you directlink you contribute to slowing down the experience for others, or, for some hosting services, even forcing the owner to pay extra.
Of course, one person directlinking won't cause the site to crash, so don't worry if you've hotlinked because you didn't know. But you still shouldn't hotlink, if everyone hotlinked because "one won't hurt", well, that'd be a lot of hotlinking!!
Rather than hotlinking you should save the image to your computer and then upload it to your own server. There are websites that don't mind or even encourage hotlinking however mine is not one of them!! So please don't hotlink!!!
Thank you