DPF is the Diesel Particulate Filter. It's fitted in the exhaust system and it filters out the soot particles from the diesel exhaust. The engine management system will periodically burn extra diesel in order to raise the exhaust temperature for a short period in order to clean out the filter.
If you are doing mainly short journeys (especially starting from cold) then it will be difficult for the exhaust gases to get hot enough to clean the filter out. There is a warning light which comes on if the car is having difficulty cleaning the DPF, and you will need to drive with the engine fully warmed up and the engine rpm above 2000 until the light goes out (probably around 20 minutes).
There is a bit more detail in your owners manual.