Compounding (also pharmaceutical compounding and compounding pharmacy) is the mixing of drugs by a pharmacist, physician, or veterinarian to fit the unique needs of a patient. This may be done for medically necessary reasons, such as to change the form of the medication from a solid pill to a liquid, to avoid a non-essential ingredient that the patient is allergic to, or to obtain the exact dose needed. It may also be done for voluntary reasons, such as adding favorite flavors to a medication.
Basically they custom mix and make your prescription for you instead of it being blended and mass produced by a pharmaceutical company. Most don't have sterile rooms for mixing injectables though, so you have to look around.