A conformal field theory is a quantum field theory which is invariant under conformal transformations.
Due to this invariance, correlation functions must obey linear equations called conformal Ward identities.
Conformal blocks are not just solutions of the conformal Ward identities, but actually elements of a particular basis of solutions.
Let us focus on two-dimensional CFT.
In two dimensions conformal transformations are described by two Virasoro algebras, called left-moving (or holomorphic) and right-moving (or antiholomorphic).
The question was formulated in terms of $n$-point conformal blocks on the complex plane, but it is technically simpler to first consider zero-point conformal blocks on the torus.
These are just characters of representations of the Virasoro algebra.
Indeed, assume you want to compute a torus zero-point function (partition function),
$$
Z = \mathrm{Tr}_S q^{E} \bar{q}^{\bar{E}}
$$
where $q$ is the (exponentiated) modulus of the torus, $E$ and $\bar{E}$ are the energy operators respectively associated to the left- and right-moving Virasoro algebras, and $S$ is the space of states of your CFT.
The space of states can be decomposed into representations of the Virasoro algebras,
$$
S = \bigoplus_{R, \bar{R}} m_{R,\bar{R}} R\otimes \bar{R}
$$
where $R, \bar{R}$ are representations of our two Virasoro algebras, and the integers $m_{R,\bar{R}}$ are their multiplicities.
Then computing the trace over $S$ reduces to summing over states in each representation $R$ or $\bar{R}$, and such a sum is by definition a character
$$
\chi_R(q) = \mathrm{Tr}_R q^{E} = \sum_L q^{E(L)}
$$
where $L$ labels an orthonormal basis of $R$, made of eigenvectors of $E$.
So we obtain
$$
Z = \sum_{R,\bar{R}} m_{R,\bar{R}} \chi_R(q) \chi_{\bar{R}}(\bar{q})
$$
This is the conformal block decomposition of $Z$: the conformal blocks $\chi_R(q)$, $\chi_{\bar{R}}(\bar{q})$ are locally holomorphic functions of $q$ and $\bar{q}$, they are completely determined by conformal symmetry, and they are parametrized by representations of the symmetry algebra. On the other hand, the multiplicities $m_{R,\bar{R}}$ are left undetermined by the symmetry.
The same ideas apply to the sphere four-point function. A four-point function can be decomposed into products of three-point functions by inserting an identity operator, and we schematically obtain
$$
\left< \prod_{i=1}^4 V_i(z_i,\bar{z}_i) \right>
= \sum_{R,\bar{R}} m_{R,\bar{R}} \sum_{L,\bar{L}}
\left< V_1V_2 \middle| (R,L),(\bar{R},\bar{L}) \right>
\left< (R,L),(\bar{R},\bar{L}) \middle| V_3V_4\right>
$$
Now it turns out that a three-point function $\left< V_1 V_2 \middle| (R,L),(\bar{R},\bar{L}) \right>$, is determined by conformal symmetry up to a factor $C_{1,2,(R,\bar{R})}$, which depends neither on $z_i,\bar{z}_i$ nor on $L,\bar{L}$, and we have
$$
\left< \prod_{i=1}^4 V_i(z_i,\bar{z}_i) \right> = \sum_{R,\bar{R}} m_{R,\bar{R}} C_{1,2,(R,\bar{R})} C_{(R, \bar{R}), 3,4} F_R(z_i) F_{\bar{R}}(\bar{z}_i)
$$
The four-point conformal block $F_R(z_i)= \sum_L \cdots$ is completely determined by conformal symmetry. It depends on all the left-moving parameters: the positions $z_i$, the $s$-channel representation $R$, and the left-moving representations which correspond to the fields $V_i$.
Up to trivial factors, a four-point conformal block is actually a function of the cross-ratio $z=\frac{(z_1-z_2)(z_3-z_4)}{(z_1-z_3)(z_2-z_4)}$: this is a simple consequence of Ward identities, which holds whether you have local or global conformal symmetry.
A conformal block generally does not obey any differential equation in $z$.
It obeys a Belavin-Polyakov-Zamolodchikov equation only if at least one of the fields $V_i$ is a so-called degenerate field.
Conformal blocks are useful because they are universal quantities, in the sense that they are determined by conformal symmetry.
In order to determine correlation functions in a specific model, all that is left to do is to compute model-dependent quantities such as the multiplicities $m_{R,\bar{R}}$ and the factors $C_{1,2,(R,\bar{R})}$.
These model-dependent quantities are simpler than the correlation functions: in particular, they typically depend on fewer parameters.
For more details along these lines, see my review article.