UDP stands for User Datagram Protocol. UDP is a main part of the TCP/IP protocol suite which is widely used on the internet. UDP specifies the port number to be used both on the sending computer and the receiving computer. The port indicates the service or application program that will serve the remote request.
UDP supports the network at the transport layer. UDP is an unreliable connection-less protocol and is defined by RFC 768 and 1122. There is no guarantee that the data transported using UDP will reach its destination. UDP is meant to provide service with very little transmission overhead. It adds very little to IP datapackets except for some error checking and port direction (Remember, UDP encapsulates IP packets). UDP is a datagram service.
The page about UDP describes the UDP data format in more detail.