This is a very basic but very important rule of strength training. Basically, it means that our bodies will adapt to new stresses placed on it. In exercise, you can create more work for your body in many different ways. Whether it's improving your running time or increasing the amount of weight you lift.
Although this principle is very basic and may seem like common sense, it often goes unutilized. This is why many people, though they continue to exercise and presumably eat right, stop seeing progress after a while. I think women are more likely than men to push this principle aside- mostly when it comes to weight training. I have spoken with many women who fear getting "big" or "bulky" if they lift weights that they deem too heavy. Thankfully, we don't have to worry about this. We simply do not naturally have enough testosterone in our bodies to cause this kind of growth. The bodybuilder women you see on TV or in magazines don't NATURALLY have that much testosterone either. Enough said.
Many women do themselves a disservice by avoiding weight. At rest, muscles burns more calories than fat, thus a faster metabolism. And while you can't "turn fat into muscle," the more muscle you build, the more fat you will be able to burn. And of course don't forget about cardio also.
Don't know how heavy to go? If you can easily do 20 reps, then you need to increase your load. On the other hand, if you are lifting so heavy that you are compromising your form or are not going through the full range of motion of the exercise, then your weight is too heavy. It may take some trial and error before finding the sweet spot, but keep trying. And once your routine feels easy again, you know it's time to change it up. And there are other ways to shock your system aside from increasing load. But I won't get into that here. If you want to read more about the overload principle and weight lifting, here's a couple of links:
Ways to use the overload principle