It's a membrane (I think of it like a sheet of material with tiny holes in it) that only molecules the size of water and smaller passthrough. Most bottled water is made "pure" by reverse osmosis. Those big water filling machines at grocery stores are also reverse osmosis machines.

I forgot about reverse osmosis. I have no idea what that is really. 

We drink a lot of water so we use a reverse osmosis to be extra sure we aren't drinking anything extra. Other than that I don't have much of an opinion.