A hard disk is made up of millions of "areas" of data, with pointers to each of these areas (so Windows can find the data).
Your data is spread across all these areas, and large files can be split up across many of these "areas".
A disk consistency check means there is something wrong with one or more of these areas, or one or more of the pointers.
Hard disks will give out error warnings if it finds errors, and if Windows senses there are lots of these errors it will ask you to run a check.
A check may mark areas of the disk as "bad" and not store data there.
Of course in a worst case situation it could mean the whole disk is failing and you could lose all your data, so best to start backing it all up now just in case.