Multi-grade oil is oil that has viscosity modifier additives in it. These additives allow the oil to flow differently under cold and hot conditions. Multi-grade, or multi-weight oil is designated with two numbers. The first one is followed by the letter “W”. This first number indicates the viscosity (weight) of the oil in Winter (cold), and the second number indicates the viscosity (weight) of the oil under normal engine temperature (hot). It is important for the oil to be thin enough to flow easily when cold. This protects the engine parts from undue wear in cold starting conditions.
For more info, see Understanding Motor Oil Ratings