Quad-band generally refers to a device that supports 4 different GSM frequency bands.
It covers 850Mhz, 900MHz, 1800MHz and 1900MHz frequency ranges.
So in simple terms a quad-band device will work pretty much anywhere in the world where there is GSM service.
If you still have doubts then google for Quadband will find tons of info....

User Information Current Phone: MotoRokr E6
Firmware: R533_G_11.12.08P
Location: Bangalore, India