Convection is how heat is transfered in a fluid (a liquid or a gas). If part of the fluid heats up, these particles will gain more energy. If they have more energy, they will move a little further apart from each other (remember thermal expansion?). If the particles are further apart then that part of the fluid is less dense, ie there is less stuff in a given volume. Less dense things float on more dense things just like oil on water and so the hot fluid will rise to the top of the colder, denser fluid. This colder, denser fluid will sink to be heated in turn and the cycle continues. This cycle is called a convection current.