Missingno means "Missing number," which in itself means "Cannot find
Pokemon identity." In pokémon Red and Blue, there were various ingame
places that would use up memory slots that other bits of info needed
to use. In other words, it's like putting a brick in a wall, and then
not having any space left to put more bricks in. The result was
"Missingno," effectively an error which meant the memory location
could not be read and was a placeholder. There were a very variations,
which you can find under the article linked to in the source.
Missingno could cause game crashes, since it's memory location would
cause issues. When captured, it would often turn into another pokémon
(I remember catching one and it turning into Kanghaskhan). Basically,
it wasn't a pokémon, but an error working under the laws of pokémon.
If you encounter one in your game, it's probably safest to turn off
and restore to an earlier save, as any interaction with it could cause
your entire game to crash and you lose all your data.