An adventure in a roleplaying game is a single, discrete story. Several adventures in sequence form a campaign. Game companies often publish pre-made adventure supplements. These are often called modules.
Adventures consist of certain basic elements common to all forms of storytelling:
"You all meet in a tavern..."
The attack of the plot
"A wild-eyed old man stumbles through the door..."
The party journeys to the dungeon and begins hacking up orcs.
The resolution of the plot
"...and as you open the door, you hear the bellow of the Orcish Chieftain as he rushes to the attack!"
Everybody divvies up the treasure, and the wild-eyed old man reveals what that amulet the Chieftain was wearing actually does.