I'm not Mormon myself, but I do live in Utah, so I have more credibility than most non-Mormons.
It's part of the Book of Abraham, a text that Mormons believe Joseph Smith, founder of the LDS faith, translated from the Joseph Smith Papyri, an Ancient Egyptian text that a member of the church acquired from an archaeologist and gave to Smith. Mormons believe that Kolob is the celestial body - it's disputed whether it's a star or planet - closest to the Throne of God, the reigning center of God. The Throne of God can also be found in other Christian sects, Islam, and Judaism.
Really, it isn't a very fleshed out part of the religion.
