1. Relating to a millennium: This is the more common meaning. A millennium is a period of 1,000 years. So, "millenary" can describe something that lasts for a millennium, or that happened during a millennium. For example, "the millenary reign of the Roman Empire" would refer to the thousand years that the empire lasted.
2. A group of 1,000: This usage is less common, but it can be used to refer to a group of 1,000 of something, such as a "millenary of soldiers".
It's important to note that "millenary" is not the same as "millennial," which refers to a person born between 1981 and 1996.