In QGIS, a memory layer is like a normal vector layer, but it is created to be temporary. You can create memory layers by using the new memory layer plugin.
Notice that the layer will only exists within your current open project. Once the project is closed, IT WILL DISAPPEAR.
You can workaround this with another plugin called memory layer saver that, when the project is saved, will save all your project memory layers in mldata file next to it. This way when you reopen your project all your temporary layers will be there.
You can also make a memory layer permanent (to any format) by using the save as tool.
The current QGIS version currently in development (2.7 master) has integrated the memory layer plugin in it's core functions, but with a different name, Scratch layers.