i always heard everybody says about "Interpolation" in game programming ? what actually it was ?? does it have relation with direct x ?

Interpolation is the process of finding an intermediate value at a certain point between other known values. There are many different ways to do it, what Vampyre_dark linked to discusses linear interpolation which is a simple (and rather obvious method).

Keyframe animation is an example of where you might use interpolation in game programming. The animator defines keyframes and then when the game needs an animation frame between two key frames it can interpolate between the vertex positions in one frame and the vertex positions in another frame to get an intermediate frame,

Google for Slerp: First hit.

Nice read.

Cheers