Paolo,
Unlike Davids explanation, which is correct, I will confuse you a little more by going a bit deeper.
Maybe the easiest translation would be, unlike a spark plug that fires across a gap with a spark to ignite the fuel, a glow plug is a similar design but has a small coil of wire in the tip instead of a gap as a spark plug has. When connected to a battery (for engine starting) the coil 'GLOWS' red hot and so the fuel starts to burn and causes the engine to fire. After a short warm up period by the engine, the coil will continue to glow without the battery being connected, by way of the combustion in the cylinder.
This glow is there permanently then while the engine is running, and only usually stops glowing when either the engine runs out of fuel, or the throttle is closed down so combustion cannot take place.
Here is a technical description
http://en.wikipedia.org/wiki/Glow_engine
Certain types of 2 and 4 stroke petrol engines can be run using a glow plug instead of a spark plug, as long as the fuel is the correct one for ignition.
People who design and make IC engines might use glow plugs at an early stage of development, to prove the engine will run without going to the trouble of fitting a proper spark plug ignition system.
As far as I know, you cannot use glow plugs on something like a hit or miss engine, because the intermittent firing will not allow the plug to heat up enough to fire by itself, I suppose if you left the battery connected, then it would run.
I hope that this has helped to explain it to you, and not confused you even more.
John