Keith Brown has written a great introductory article about Code Access Security (CAS) in .NET. His conclusion is:
Deploying code over a network is dangerous without a comprehensive security system to verify and constrain that code, and Code Access Security is Microsoft's solution to the problem. It's a flexible, if somewhat complex beast, and as a developer working on smart clients, you should learn all you can about it, as it will play a big role in your life!
I think he's right so you should go read this article now.
Related Resources
An Introduction to Code Access Security