It's a polite way to express a desire or request, similar to "I'd like" in English.
Here are some examples:
* Je voudrais un café, s'il vous plaît. (I would like a coffee, please.)
* Je voudrais aller au cinéma ce soir. (I would like to go to the cinema tonight.)
* Je voudrais savoir où se trouve la gare. (I would like to know where the train station is.)