That's one of the more costly operations that can occur. It basically means that the optimizer thought it needed to build it's own index in order to satisfy the query.
In general you need to look at your indexing to see if you've got indexes in the right places, check your statistics to be sure they're up to date, and examine the query itself to be sure that you aren't pasting non-sargeable arguments (functions on columns, that sort of thing) or any other problematic query construct.
For specific answers, you'd need to post the query, the execution plan and, if possible, a sample structure and some data so that we can replicate your issue.