I don't use Cubase so I don't know exactly how it works, but I junplugged explained it.
Effects send indicates you are sending a signal (vocal, guitar, whatever) from a device (say - a mixer) to an effects unit. This would go into the input of the effects unit. The output of the effects unit would then connect to the effects return of the "mixer".
At a most basic level you are sending a sound to the effects unit to be changed in some way (say, adding reverb) and then sending that changed sound back. Most of these types of configuration "blend" the effected sound with the original "dry" signal, thus allowing you to determine how much "effect" you use.
What I've just described is a basic hardware configuration (a mixer with an exteral effects unit) - however, in a software application (such as Cubase) the theory remains the same but the signal routing simply remains inside the software.