Pegging in it's simplest terms is a woman fucking a man's ass with a dildo that is usually strapped on.  

Urban Dictionary:

"Anal sex reversed. Instead of the man sticking his penis up the woman's butt, the woman wears a strap-on and sticks it up the man's butt."

Wikipedia:

"The sexual practice in which a woman performs anal sex on a man by penetrating the man's anus with a strap-on dildo. The neologism "pegging" was popularized when it became the winning entry in a contest in Dan Savage's "Savage Love" sex advice column, held after an observation was made that there was no common name for the act.[1]"