A monsoon is a wind pattern that reverses direction seasonally. It is much unlike a storm or cyclone in that it does not randomly form, nor would you say there's a monsoon coming, you would say its monsoon season. If you've ever been to a beach you may have noticed there is often a breeze, that breeze is working on the same concept as a monsoon.
Monsoon seasons exist in a great many areas, but in hotter areas such as the southern states of the United States, or India, monsoon season is more noticeable. The process is as I said seasonal. In the summer the land near an ocean will heat up, this causes the air above that ground to rise. The result is a low pressure area; the air above the cooler ocean water is a higher pressure area so that air is continually rushing to the low pressure area creating a constant wind. Since the air above the ocean can absorb a great amount of water if as it gets warmer it can bring a great amount of rain to the land near it. In the cooler months the land cools off, and the ocean water retains some of its heat, the result is that there is a lower pressure area over the ocean than there is over the land. The breeze is still there in the cooler months but it is blowing out onto the ocean and therefore does not bring any rain to the land.
The high winds formed by a monsoon can also cause tornados, and umbrellas to bend in ways they shouldn't bend.