Q: Saving recent purchases to library before syncing

Every time (almost) I try to install a new update, I get this notice:  "There are purchased items on the iPad ... that have not been transferred to your iTunes library. You should transfer these items to your iTunes library before updating this iPad. Are you sure you want to continue?"

What the heck does that mean? How do I do what it's telling me I must do? How do I figure out what "purchases" this note is referring to?

Stumped.

Thanks.