What does it mean to be "set up" for a certain string gauge?  Thanks

basically you may have to adjust the neck for the string guage tighten or loosen the truss rod,sometimes lite guage string don't have enough tenson so the neck loses its bow and the strings will buzz and with heavy strings my cause to much bow and you need to tighten the truss rod

There's tons of good information here about setups and many other aspects of guitar maintenance:

http://www.frets.com/FRETSPages/pagelist.html (http://www.frets.com/FRETSPages/pagelist.html)

As well as truss rod tension, you might have to widen and reshape the nut slots a bit if you are going from Light to Medium or Bluegrass strings. Also, if after tightening the truss rod to get the right bow your action is still a bit high, you might need to grind a bit off the saddle to bring it down to where you like it.

It is best left for the pros.

Griff