A sprint — also known as an iteration — is a short (ideally two to four week) period in which the development team implements and delivers a discrete product increment, e.g. a working milestone version.
In GreenHopper, go to Plan mode on your board to create a sprint, choose issues and start a sprint. Then go to Work mode to work on issues and complete the sprint. For completed sprints, you can view the Sprint Retrospective Report in Report mode.
(Note: In JIRA, sprint is a searchable field — see the JIRA JQL documentation for details.)