It is the acronym for Encyclopaedia of Chess Openings which is a book collection (now also available as a computer database) describing chess openings. The moves were taken from hundreds of thousands of games between masters, from published analysis in the "Chess Informant" since 1966, and then compiled by notable chess players. Both the ECO and the "Chess Informant" are published by the Serbian company Sahovski informator.
All known openings are divided into 5 main codes A-E and several numeric subdivisions.

Source: "Wikipedia, The free Encyclopedia"