Fondant icing is a mixture of sugars and water, in the form of a white paste, fairly hard when cold, but which softens when warmed. It's used for icing the tops of cakes and pastries such as millefeuilles or eclairs. It can be used white or coloured.
If you intend to buy: Use a professional supplier if possible (look in Yellow Pages); you'll find it at a better price. You could also ask your baker. If he's kind, he might agree to sell you a little (or even give you some).
If you want to use it: Fondant is used softened, which occurs at a temperature of 035°C (90°F), generally done in a bain-marie.
If you don't have any, you can replace it with a quick glacé icing, made by mixing icing sugar thoroughly with a little water until very thick and syrupy.