Blanching is the process of cooking something in very high heat for a brief period of time before transferring it to a bath of ice water. Most commonly this is done via boiling in water, but it can also be done through deep frying. Blanching actually does a few things. With many vegetables, it actually intensifies the natural colour (which is very true with carrots). It also helps to soften the food without fully cooking it - great if you are looking to make a stirfry or something that involves fast cooking. Or if you want to use the veggies in a salad but want to retain the 'crunch'.
The act of putting the food straight into an ice-cold bath of water is an essential part of the process. This is often referred to as 'refreshing' or 'shocking'. The main purpose it serves is to stop the food from continuing to cook through any retained heat.