Okay, dictionary definition of a GUI:
Quote: "A graphical user interface (or GUI, sometimes pronounced "gooey") is a method of interacting with a computer through a metaphor of direct manipulation of graphical images and widgets in addition to text."
- Wikipedia.com
Basically a gui is a menu in your game were all the buttons are, here are examples:
Dune2000
Quake3 Arena
Gunz Online
So basically, a Gui is a group of widgets and/or statistics related directly to your game.
It may include health, mp, stamina, weapons, spells, skills, that sort of thing. It may also have buttons to go to the main menu, a quit button, a pause button and/or Inventory button.
NOTE: I apologise for the insanely large size of the last pic.