Since no one else has jumped in yet, let me start off.
First, the term generally used is “dark matter” (which you probably slightly misremembered), though sometimes you may hear references to “missing matter.”
Now, on to my wildly simplified explanation: Why is this matter “missing?” Well, we (meaning cosmologists and physicists, not me personally) have a pretty good idea of the age of the universe, from evidence like the cosmic background radiation and the observed motions of distant galaxies. From these and other data, scientists have been able to determine roughly how much mass the universe must have. (Because we can observe the effects of gravity, and know how gravity operates, we can deduce how much mass there is.)
For example, the Milky Way (our favorite galaxy) can be seen to contain a whole lotta stars (400 billion, roughly, IIRC). Judging from the evidence of our solar system, in which the sun is by far the greatest concentration of mass (everything else is trivial compared to the sun), we can make a rough estimate of the amount of matter in the galaxy. That calculated amount is lower than the amount of matter the Milky Way needs to have to revolve and stay together in the way that we’ve observed it to do by a factor of ten. In other words, the matter we know if there is only 10% of the matter needed to make the system operate in the way we know it is operating. Whether or not the missing mass is composed of the same elmentary particles as the matter we’re familiar with (quarks up through protons and their friends to atoms) is not quite clear.
So, where is that mass? There are several theories.
MACHOs are MAssive Compact Halo Objects – dark, extrememly massive objects in space. These would most likely be neutron stars and/or black holes. One problem with this theory is that if you chuck that much matter into what’s effectively a single point, the gravitational effects would be very obvious – it wouldn’t really be “missing.”
WIMPs are Weakly Interacting Massive Particles – theorized elementary particles that have great mass but only interact with “regular” matter rarely and weakly. The problem with this theory is that particles that interact weakly have so far without exception been massless or nearly so; in fact, many scientists believe that it’s physically impossible for a particle to be both massive and weakly interacting.
Then there are the more exotic theories (which I think are actually gaining in popularity at the moment), such as that the matter is a function of space itself. I don’t pretend to understand this one, but it seems to say that “empty” space itself has a measurable mass.
If you’re really interested in the subject, I recommend you pick up a recent book called Quintessence by Lawrence Krauss. It’s not easy reading, but it’s a serious look at the missing matter problem from one of the major theorists of the day.
…but when you get blue, and you’ve lost all your dreams, there’s nothing like a campfire and a can of beans!