A calorie is a unit of energy. We tend to associate calories with food, but they apply to anything containing energy. For example, a gallon (about 4 liters) of gasoline contains about 31,000,000 calories.
[Specifically, a calorie is the amount of energy, or heat, it takes to raise the temperature of 1 gram of water 1 degree Celsius (1.8 degrees Fahrenheit). One calorie is equal to 4.184 joules, a common unit of energy used in the physical sciences.]
It turns out that the calories on a food package are actually kilocalories (1,000 calories = 1 kilocalorie). The word is sometimes capitalized to show the difference, but usually not. The same applies to exercise — when a fitness chart says you burn about 100 calories for every mile you jog, it means 100 kilocalories.