He's talking about removing the EGR (Exhaust Gas Recirculation) valve. The valve recirculates some of the hot exhaust gases back into the intake manifold to be reburned to clean up emissions. If you remove it you wont have that hot exhaust gas going back through you intake making colder air in the intake manifold which is always a plus.

Warning though this isnt really a feel it in the seat of the pants mod. So dont plan on doing it and think your gonig to gain some 20+ hp, may be 2-5 hp at the very most.