A Soundfont is a compilation of wav that are mapped across the chromatic scale (the keyboard)...
if you take a normal wav file and use it in a program like FL Studio, different notes are produced by changing the speed the actual wav file is played, the faster it plays, the higher the pitch... when you stretch a sound, at a certain point, it sounds artificial and you loose the feel of the sound of the real instrument.
For a soundfont (for a good soundfont) they record different notes of the actual sound of the soundfont (a piano, a Rhode, a 404...or whatever sound...) ...and map those sounds. That means that, when you play a C5, there is a wav file that is played that is different than the one played when you play a C4 or a D7. That way, it sounds more natural...
mmmmh, reading this, I guess I'm not as clear as I'd like... english is my 2nd language...
(You can actually do a soundfont yourself with a program called Vienna)