A redirect is a simple program that runs on the server and is installed by the web hosting provider. The only thing the program does is redirect a user to the link they clicked. The difference between simply clicking a regular link a clicking a link using a redirect is that the click is recorded in the web site log file. In this way it is possible to measure click-through of links or ads at your site.
Redirect programs are usually free.
Web site log analyzer programs usually include a free redirect program.