Assuming you do have a combination ("combi" ) boiler and a sealed system heating; When the water in the heating system heats up then it expands and the pressure in the system increases. If the pressure gets too high then a) the safety valve should open to vent some pressure and b) the boiler will turn off to stop heating it and stop the pressure rising.
When the system is "cold" the pressure gauge should show 1 to 1.5 bar. When "hot" it should be around 2 bar, not much more. The safety valve will probably open (and the boiler shut down) around 3 bar.
If the pressure gauge says more than 1.5 bar when cold then you need to let some water out of the system. Either via a radiator bleed valve, or via the system drain valve. If you let too much out that's OK provided you bring it back to 1-1.5 bar using the filling loop. You should bleed the air out of your radiators with the heating off (i.e. pump not running).
If there is a huge pressure rise (from below 1 bar when cold to over 3 bar when hot) then there is a fault with the system - usually the expansion vessel (which takes up the "slack" when the water expands) has failed. {Read the page below to understand about this and what you can do}.
Have a read of this - it should tell you all you need to know about sealed central heating systems (for the novice!) and faults;
http://www.makewrite.demon.co.uk/SealedCH.html