The DigiD is a user log-in and password that you must set up to get access to numerous Dutch government websites. You would use this log-in and password for your tax, to do municipal admin online, sign up for unitversity and to log into your medical aid for example. You can only apply for the DigiD after you have received your BSN Number.
More information about DigiD and how to apply for one. (the second has English subtitles).