Animation blending, as a concept, simply means making a smooth transition between two or more animations on a single character or Skeletal Mesh. In Unreal Engine 4, there are various ways in which such blending can be applied either through Blend Spaces, through additive methods by literally combining two animations based on a weighted bias or alpha value, or even applying direct overrides of the existing pose.
You can also send animation directly to specific bones within the Skeleton and all of its children. For instance, you can start with an animation in which the character is running, but then selectively apply a shooting animation to the upper body of the character. The final result would be a character that can run around and shoot at the same time, similar to the video below.