In conceptual terms, the drillthrough feature of Analysis Services allows you to retrieve data at the fact table granularity for any multidimensional tuple. From a practical point of view, when users look at a pivot table result, they can request the list of fact table rows that are aggregated into any specific cell in the result set. For example, the following screenshot shows the sales of a particular month divided by product categories and regions:

With Excel, when you double-click on a cell (for instance, the sales of Accessories in Europe, whose value is 1,140.65) a DRILLTHROUGH query is sent to Analysis Services and the result is shown in a new worksheet, returning the list of fact table rows that correspond to that cell, as shown in the following screenshot: