A hidden network is a wireless network that is set to not broadcast its name (or service set identifier (SSID)). Normally, wireless networks broadcast their name, and your computer “listens” for the name of the network that it wants to connect to. Since a hidden network doesn’t broadcast, your computer can't find it, so the network has to find your computer. For this to happen, your computer must broadcast both the name of the network it's looking for and its own name. In this situation, other computers “listening” for networks will know the name of your computer as well as the network you’re connected to, which increases the risk of your computer being attacked.
Whenever possible, always connect to wireless networks that are set to broadcast and have some form of security. For more information, see How do I know if a wireless network is secure?.