I have asked one of our instructors and he told me the following:
The wizard in Windchill refers to a set of step windows that you have to go through when creating information in Windchill, such as parts and documents. For example, when you click Create (or Edit), you get a form where you have to fill in some fields. You them click Next to proceed to the next window. At the end when all fields are filled, you click Finish or OK to complete the process. The collection of all step windows is known as a wizard.
If you need any further information on Windchill, you might want to check our the PTC Learning Connector portal for lots of free tutorials.
Hope this helps!