Different regions have differing AC voltages (from wall outlets). The United States and a few other countries use ~120v, whereas the rest of the world mostly uses ~220v.
A voltage switch is either an automatic switch or a physical one that allows the power supply to switch to accept 220v or 120v (or near those levels). This is important because a power supply designed to accept 120v will not properly function if plugged into a 220v outlet, and vise versa. Nowadays, most power supplies have automatic voltage switches, but older or budget-oriented power supplies may still have a physical switch.