Smoke testing is cursory action testing.It aims at checking 
the major functionality in order to go for the detailed 
testing.Some times is also called as sanity testing.It is 
perfomed on the intial build.(sanity testing is a subset of 
regressing testing).

Smoke testing is nothing but,whenever the build is release 
from the developement to the testing team,before going to 
start the excecution we (testing team)need to test the 
application whether it is stable or not.For that we have to 
test the major functionalities of the appliacation,if the 
build is not stable then testing team will reject that 
build,other wise we(testing team) will star the excecution.

Spelling correction for above answer last line "other wise 
we (testing team) will start the excecution".

Even though smoke testing and sanity testing aims at the 
same, 
Smoke testing is done by the developers before releasing 
the build to the testing team to check its stability where 
as
Sanity testing is done by the testing team after receiving 
the build from the development team in order to check the 
stability of an application to perform further detailed 
testing.