DM stands for Direct Message, and allows people on Twitter to "talk" to each other without their messages appearing in the timelines. Most of the time this privacy feature actually works, but not always, so be cautious of what you say in a DM.
The DM feature should be used much like you use a telegram - for very important messages. Don't DM everyone on your list to tell them you just blogged. That's what the regular timeline is for, after all. Many times, the DMs land in tweeples mailboxes and your message will be viewed as spam. It's just too invasive, and risks loss of followers.
Here's an example of an appropriate DM:
My doctor has given me ten days to live. Thank you for sharing time with me on Twitter. You've made my life much better. Goodbye!
Okay, that might be a little extreme. The point is that DMs are meant for important and private information. Keep that in mind before you use this feature on Twitter. If this guideline doesn't fit your post, just update in the usual way so everyone following you can read your post.