A bid request is associated with real time bidding (RTB) on ad exchanges.
1) A user visits a page
2) A request is sent from his browser to retrieve an ad from the ad exhange
3) The real time bidding platform (ad exchange) sends a bid request to potential bidders (Ad netwoks DSPs and agencies’ trading desks which collect bids from their advertisers). The bid request is sent with all needed data for targeting (user informations, publisher’s context, location, etc.).
4) All bid offers are returned within a 120ms threshold to the ad exchange which selects the winner and serves the ad
Without RTB there is no bid request but a "simpler" ad request.