Generally it means the computerized order entry system has validated the dealer's order for a vehicle and "released" the order to manufacturing. There it will get a VIN number and be scheduled for build and eventually actually start down the assembly line when the necessary components are all available. It does not necessarily mean the vehicle is physically being built right now, but it should be soon if there is not a big backlog of orders and you haven't selected some option or color scheme that is not yet available on the assembly line.
It has also been mentioned that the priority code might affect your production build date. Please correct me if I'm wrong, but I believe the priority codes range from 1 (highest priority) to 8 (lowest priority). My order went into the GM system on 8/13/07 with a priority 7. The dealer is now claiming that it will be ready in 6-8 weeks.