Data mining is an interdisciplinary subfield of computer science. It is the computational process of discovering patterns in (large) datasets.
We use data Mining techniques to discover patterns and meaning in your data that was previously unused or undiscovered. You can then start using this information to your benefit.
There is only a thin line between data mining and machine learning or statistics. Many machine learning algorithms will appear in books and courses about data mining. Data mining bridges the gap between applied statistics, artifical intelligence (which usually provide the mathematical background) and database management. It does this by exploiting the way data is stored and indexed in databases in order to execute the actual learning and discovery algorithms more efficiently, allowing such methods to be applied to ever larger data sets.