SDS-PAGE stands for sodium dodecyl (lauryl) sulfate-polyacrylamide gel electrophoresis. The SDS portion is a detergent. You may recognize it if you read the ingredients lists on your shampoo, soap, or toothpaste. The purpose of the SDS detergent is to take the protein from its native shape, which is basically a big glob, and open it up into a linear piece. It's kind of like taking a wadded up ball of string and untangling it into one straight, long piece. This will allow it to run more efficiently down the gel and will get you better results, since it's easier to compare two linear pieces of something rather than two wads of the same thing.
In more scientific terms, it is an anionic detergent that binds quantitatively to proteins, giving them linearity and uniform charge, so that they can be separated solely on the basis if their size. The SDS has a high negative charge that overwhelms any charge the protein may have, imparting all proteins with a relatively equal negative charge. The SDS has a hydrophobic tail that interacts strongly with protein (polypeptide) chains. The number of SDS molecules that bind to a protein is proportional to the number of amino acids that make up the protein. Each SDS molecule contributes two negative charges, overwhelming any charge the protein may have. SDS also disrupts the forces that contribute to protein folding (tertiary structure), ensuring that the protein is not only uniformly negatively charged, but linear as well.