site map (or sitemap) is a list of pages of a web site accessible to crawlers or users. It can be either a document in any form used as a planning tool for Web design, or a Web page that lists the pages on aWeb site, typically organized in hierarchical fashion. – http://en.wikipedia.org/wiki/Sitemap
There are several sitemap websites that will generate a sitemap for you, you can just google for sitemap generator and choose one. Some of these sites have limitations on how deep into your websites folder structure they will go, we recommend the following site for Windows users:
Once you have generated a sitemap it is recommended to upload this to Google Webmaster Tools, this will help Google index all of your site
If you are using scripts like wordpress, then use tools like Slim Seo will create sitemaps automatically for you.