A lake pigment is a pigment created when a dye is fixed ("stuck onto") to a powder, which is then mixed with a binder to create paint. ("Normal" pigment is created by grinding up a substance.) Rose madder is an example of a lake pigment; the color comes from a dye created from madder root.
Look out for the word "lake" on the label of the paint tube. It's not always mentioned in the name, but the pigment information may tell you. Also check the lightfastness rating of the color as some lake pigments are fugitive (the dyes fade when exposed to light).