An approval process determines how records like purchase orders, sales orders etc are submitted for approval. Until you set up an approval process, you can not submit any document for approval.
Illustration: To Set up approval process for purchase order:
Go To Setup > Process Automation > Approval Processes > Select Purchase Order in 'Manage Approval Processes For:' field >then click Create New Approval Process > Use Jump Start Wizard > Give any name of your choice > Specify any criteria if you wish to add one > You can select 'Let the submitter choose the approver manually' option which is most used or any other option as per your choice > then Save > Click 'Approval Process Detail Page > Click 'Activate' button.
Same way you can set up approval processes for Sales Orders, Bills and other objects.