Primary research is material the writer generates by him- or herself: through interviews, surveys, questionnaires, data analysis, and experimentation.
Secondary research is material that the writer culls from the research of others: from annual reports and financial statements, books, magazines, newspapers and electronic sources, previous documents, statistics databases, etc.
In a feasibility study, for instance, you might determine the market for a new product both by surveying potential customers (primary research) and by researching industry trends in professional publications (secondary research). A good feasibility study will balance both kinds of research to help convince its audience that the proposal is worthy of serious consideration.