In the shortest answer, it means "going vertical." But that can include sport climbing in a gym, bouldering without ropes (either at the gym or outside) close to the ground with spotters or crash pads in case you fall, cragging at local outcrops that require use of climbing ropes but no hikes to get to the rock, and alpine climbing, where you travel on foot quite a distance to get to your destination.
Rock climbing is divided into classes and grades. Third class rock climbing is actually known as scrambling, which may have some exposure but generally just involves using hands and feet on rocks without need for ropes. Fourth class is a little more exposed and some people might want ropes or what is known as hand lines (that you can pull on with hands or clip into if you're in a harness) as added protection. Fifth class climbing involves risk of falling and requires use of ropes for protection, although really good rock climbers may "free climb" (i.e. no ropes) some of the lower fifth class climbs.
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