A subliminal message (or sometimes called an subliminal affirmation) is a spoken statement that has been recorded, usually masked behind music or white noise. In other words, on a conscious level, you cannot hear the statement. Hence the term "Sub", meaning underneath.
You may be asking then, what is the purpose of listening to an affirmation or subliminal recording that you cannot hear? Here's the trick. On a conscious level it's true you cannot hear the statement, however, the statement or affirmation is entering directly into your subconscious mind. And this is where the work is done.