Dojo is roughly translated as "training hall" or "the place of The Way." (as I am sure there are others). It is basically the place where the majority of your training takes place. In Japanese martial arts, names ending in "kan" typically notate the dojo, and "kai" typically refer to an organization (budokan vice budokai). Jerome's answer is referring to the saying "jiki shin kore dojo"; roughly, "if the mind is correct, everywhere is the dojo." Basically training shouldn't end in the dojo and should be applied to everyday life (beyond the physical aspect).
Happy New Year!