"Collate" is just a fancy word for organize. On a copier or printer, collate can mean one of three things: stacking, sorting, or stapling. Collate is only used when making copies or prints of more than one page.
As an example, let's say you want to make three sets of copies of a 20-page report. The terminology can vary by machine manufacturer, but on most copiers and printers, "stacking" will print out three copies of page 1, then three copies of page 2, and then three copies of page 3, all the way down to page 20. If you select "sort" instead, you would get each set of your documents together - all 20 pages of the first set, then all 20 pages of the second set, then all 20 pages of the third set. "Staple" will print your documents in sorted order and then staple each set.
When using a printer, not all of these functions are always available. What options you can use depend on both the printer you are using and the print driver loaded on your computer. For example, a Ricoh Aficio 3045 (multifunction copier/printer/scanner/fax) can stack, sort, and staple, and if you are printing to it from a computer with the current Ricoh RPCS print driver installed, you can select any of these options. However, that same machine can also understand commands from a Hewlett-Packard DeskJet print driver, but since the DeskJet can not collate, you would not have those commands available if you were using the DeskJet driver.
It's usually fairly easy to find the collate features when printing. In Microsoft Word 2003, select "Print" from the File menu and click on the Options box. This will take you to the print driver settings, where (depending on your printer) you can select which paper tray to use, whether you want single or double-sided copies, and of course whether you want the pages collated. Most Windows drivers will have a picture next to the different collate options, so you can see which option will do what.
The main difference between using collate on a printer and on a copier is that for a printer, you select the collate options from your computer, and with a copier, those options are selected on the copier's operation panel. Depending on the copier, the collate options may be easy to use or hard to understand. Some copiers display common collate options on their main copy screen, while others group them together under an "Output" menu.
For specific questions about collating with a copier or printer, checking the user's manual will usually get you the answer you need. For printing questions, you can also search through the help topics of the program you are using to print. If you don't have a user's manual for your device, you can usually download one from the manufacturer's website (as well as a current version of the print driver, if applicable).