«Sadhana» means a course of practices and rituals which are performed to reach a spiritual goal. That goal may be to attain spiritual realization (enlightenment), the love of God (prema), liberation from the cycle of death and birth (moksha) or the blessing of a particul God.
My landlord in India used to remind me that actually all life is Sadhana. She is a very spiritual being after all and from a family of Brahmins who are very keen on rituals. Someone who defines his whole life as Sadhana has made moksha his or her life-goal (his or her purushartha).
Also to refrain from certain practices and behaviours can be a form of Sadhana and one of the most famous Sadhanas is fasting. Everything you do as a means to reach your spiritual goal is somewhat your Sadhana. But many people associate mainly asanas, mantras, meditation and pujas with Sadhana.