Traveling stripes are a technique for working stripes that are three or more rounds high. On the first round in the new color, work the first round in the new color as you normally would. On the next round, slip the first stitch in the new color, then work the rest of the round (and any more that follow before the next color change) as written.
For more detailed information about stripes in the round, see this excellent post by TECHknitting. The following video shows the traveling stripes technique: