Everyone roleplays differently, but the basic definition of roleplay is taking on a personality and character and, essentially, acting out that character in game. It involves staying "In Character" (IC) at all times and really trying to think about their personality/likes/dislikes, etc, and how they would act as a person. Choosing in game feats, skills and stats to match their development as a character is also part of roleplay. DMs reward good RP over time when they see it.
Additionally, DizzyJ's Newbie Guide to Thain is a fantastic guide for new roleplayers, written by one of our own players - a link to the PDF version can be found in the top right-hand corner of this site.