What does it exactly mean the term "probe brane"?
People say for example: We put a stack of N branes at some point and then a probe brane ..."
How do they appear in AdS/CFT?
Can you give me an example or so on?
Probe brane means that the brane is not backreacting on the geometry. It's very similar to the idea of a test particle in GR. A test particle follows geodesics of the spacetime. In reality, of course the particle will backreact on the geometry, but for small objects it's a good approximation to neglect this backreaction.
In the context of AdS/CFT, this could be like having a large stack of D3 branes which source an AdS throat, and then having one additional brane not on top of the stack which is free to move around in the transverse directions. An example where this comes up is in Polchinski-Strassler: http://arxiv.org/abs/hep-th/0003136.