To put it simply, collocation means 'some words are often used/placed together', for example, 'make a mistake', 'make your bed', 'do the warshing up', etc.
Some people may not agree that collocation should include idioms, fixed expressions or phrasal verbs, such as 'keep it up', 'here and there', 'shut up'. So, what's really a collocation is still arguable.
It makes sense, however, to take the time to learn about collocation if you really want to sound natural. You say 'fast food' or 'heavy smok

