A non-denominational church is, as its name suggests, a congregation that has chosen not to affiliate with a denomination.
Such a group may or may not be part of a larger group within Christianity. For example, Independent Baptists are non-denominational (in that they are not affiliated with any Baptist denomination such as the Southern Baptist Convention), but consider themselves part of the larger Baptist community. Also, Church of Christ congregations do not consider themselves to be a denomination, although they can be considered to be part of a larger community of churches tracing their roots back to the American Restoration Movement in the early 1800's.
Non-denominational churches are generally conservative in theology and doctrine. They most often can be classified as Evangelical (Willow Creek Church in suburban Chicago is an example) or Charismatic (Lakewood Church in Houston and Gateway Church in the DFW area are examples).
It should be noted that a trend within denominationally-affiliated churches is to take a non-denominational sounding name so as to "not offend" potential visitors; a notable example is Southern-California based Saddleback Church, which is a Southern Baptist church.