Grand Prix means "big" or "large" prize in French. In the modern horse world it's used in three senses:
1. To refer to the very highest level of dressage competition. Olympic riders, for example, compete at the Grand Prix level.
2. To refer to an international jumping contest that is run under standard jumping rules, has a large prize and is generally the most prestigious and lucrative competition at a show. (Note that outdoor shows in England use Derby instead of Grand Prix).
3. To refer to a horse that competes reliably at these levels, especially when advertising a horse for sale or a stallion for breeding purposes.