"Autoguard" is a move property which allows the move to continue even if the character performing it is hit by an attack. Autoguard is sometimes referred to as "super armor," especially when a character has it much or all of the time.
When a move is said to "have autoguard," it actually means that certain animation frames of the move have the autoguard property. When a character is struck during an autoguard frame, the attack is treated as blocked but the move continues to animate. The results are perhaps best explained through an example.
Ryu attacks Kyo Kusanagi with a close fierce punch while Kyo is performing his QCF + P attack. The QCF + P attack has autoguard frames, and Ryu's jab hits Kyo during those frames.
Ryu: Ryu's punch is treated as having hit Kyo but having been blocked. Ryu may continue to attack in any way he normally could when a close fierce punch makes contact--for example, by canceling into a shoryuken.
Kyo: Since Ryu's punch is treated as having been blocked, Kyo takes no damage. Kyo's QCF + P continues as normal.