Prana is a complex word to translate. Whilst literally it means breath, it also encompasses life force and vital energy. One of Vatas sub dosha's is Prana Vata, moving down the throat to the bellybutton. Yama means something like suspend, lengthen or restrain. So pranayama involves controlling the breath.
You can practice controlling the breath all the time by just having two simple awarenesses. First, breath through the nose, more prana can be absorbed this way. And secondly exhale for twice as long as you inhale, ensuring that all old, used prana is expelled making way for fresh vital prana.
There are many forms of pranayama with many applications, but pranayama greatly benefit the lungs (ie. asthma) and the mind (ie. stress). Continual practice of pranayama is said to increase the lifespan, and give greater awareness and detachment.
Pranayama can be very complex, subtle excercises and must be practiced with caution and awareness. All pranayama should ideally be learned from a great teacher (not a website!) but the most important rule is to listen to your body. Never stress or strain the breath, this can greatly imbalance Vata. After retaining the breath you should be able to exhale with comfort and control. Feelings of dizziness, pins and needles or blackouts mean you have over done it. Remember just cause your friend can do it, or you even did it yesterday, it doesn't mean you can do it now.
And, as my Guru always says, try to practice in green tree's. Pranayama won't do much good if you are breathing in more pollution than prana!