Diesel Particulate filters (DPF) or 'traps' do just that, they catch bits of soot in the exhaust.
As with any filter (think of the bag in your vacuum cleaner) they have to be emptied regularly to maintain performance. For a DPF this process is called 'regeneration' – the accumulated soot is burnt off at high temperature to leave only a tiny ash residue. Regeneration may be either passive or active.
Passive regeneration takes place automatically on motorway-type runs when the exhaust temperature is high. Many cars don't get this sort of use though so manufacturers have to design-in 'active' regeneration where the engine management computer (ECU) takes control of the process.
When the soot loading in the filter reaches a set limit (about 45%) the ECU can make small adjustments to the fuel injection timing to increase the exhaust temperature and initiate regeneration. If the journey's a bit stop/start the regeneration may not complete and the Warning Lights will illuminate to show that the DPF is partially blocked.
It should be possible to start a complete regeneration and clear the warning light by driving for 10 minutes or so at speeds greater than 40mph.