The simplest classical picture of a brane is a manifold in space-time, representing the trajectory of a spatially extended dynamical object in string theory. What is generally called a p-brane is extended in p spatial dimensions and so its "trajectory", generally called worldvolume, is a (p+1)-dimensional manifold in spacetime. In superstring theory, the spacetime is 10 dimensional and the data of a p-brane is the data of a (p+1) dimensional submanifold of this spacetime. The simplest textbooks examples take as spacetime R1,9 and flat p-branes i.e. R1,p. But one can imagine more complicated situations. For example, to construct realistic 4-dimensional theories, one can take as spacetime R1,3×X where X is a compact six dimensional manifold. In this case, one can consider for example p-branes of the form R1,3×Y where Y is a submanifold of X. One generally says that the p-brane is wrapped around Y. For example, if X contains a Riemann surface, one can take Y to be this Riemann surface and so the p-brane is wrapped on the Riemann surface Y.
To summarize: a p-brane is wrapped on a manifold Y if its worlvolume is a (p+1)-manifold which is a product of a flat space with Y.
In what preceeds, I have only considered the worldvolume manifold underlying the brane. In fact, a brane is a much richer object because it is a dynamical object in the theory. For example, for D-branes in string theory, strings can end on the D-branes and in particular we have open strings with both ends on the D-brane. The massless spectrum of these open strings contain a gauge boson and so the effective theory living on a D-brane is a gauge theory. More precisely, it is a U(1) gauge theory for a unique D-brane and a U(N) gauge theory if one has N D-branes stacked together (in the simplest cases, say in type II superstring without spacetime singularities, without B-field...). Due to spacetime supersymmetry in string theory, it is in general a supersymmetric gauge theory. The precise number of supersymmetries preserved in the gauge theory depends precisely on the way the brane is wrapped. If the brane is wrapped on a manifold Y, then taking the limit when Y becomes small, one obtains an effective theory in the remaining non-compact dimensions of the brane. Thus starting with a gauge theory living on a flat brane, wrapping this brane around a non-trivial manifold gives you a way to construct a new gauge theory with less spacetime dimensions and in general less supersymmetries.
In general, to preserve supersymmetries by wrapping branes on a manifold Y, Y has to satisfy strong conditions which are mathematically very interesting (these conditions have a BPS form and are related to the theory of calibrated submanifolds. Depending on the precise context, some examples are complex submanifolds, special Lagrangian submanifolds...)
EDIT: here are some explicit examples.
1) Start with N parallel coincident M5 branes. The low energy theory living on this stack of brane is a N=(2,0) six dimensional gauge theory of gauge group U(N). If you wrap these branes on a 2-torus, the resulting theory at low-energy in the remaining four non-compact dimensions is N=4 super Yang-Mills of gauge group U(N). If instead of a 2-torus, one chooses a more complicated Riemann surface, one obtains a four dimensional N=2 gauge theory whose details depend on the Riemann surface. These N=2 4d theories are called of class S and most of them have no lagrangian description.
2)Again N M5 branes but in a slightly different context (we write 6=4+2 rather 6=2+4). Assume that M-theory is compactified on a Calabi-Yau 3-fold X. Then wrapping the M5-branes around a four dimensional submanifold of X (more precisely a complex surface in X), gives at low energy for the remaining two non-compact dimensions a N=(4,0) 2d gauge theory, which was for example used for black holes entropy calculations.
3) Consider N parallel coincident D3 branes. The low energy theory living on this stack of brane is a N=4 super Yang-Mills of gauge group U(N). Assume that type IIB string theory is compactified on a Calabi-Yau 3-fold X. Then, you can wrap the branes on a point in X, which gives something non-trivial if this point is singular in X, for example if X is a cone over a 5-manifold Y and if we put the branes at the tip of the cones. The resulting gauge theory in the non-compact four dimensions have N=2 or N=1 supersymmetries depending on the details. An AdS/CFT argument shows that these four dimensional gauge theories are dual to type IIB string theory on AdS5×Y.
4) Consider type IIA string theory compactified on a Calabi-Yau 3-fold X. One can wrap N D6 branes around a 3-manifold in X (more precisely a special Lagrangian submanifold of X) and the low-energy gauge theory living in the remaining four non-compact dimensions has N=1 supersymmetries...
5) Consider type IIB gauge theories compactified on a complex surface X resolution of an ADE singularity. One can wrap N D7-branes around the non-trivial 2-cycles in X and the low-energy gauge theory living in the remaining six non-compact dimensions has N=(1,0) supersymmetries...
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