On a sidewall ski, the sides (the parts right above the edges) are a separate piece, usually made of ABS or UHMW type plastic. Looks like this.
On a cap ski, the topsheet rolls over onto the side in one entire piece. The most common, cheapest type of ski construction. Looks like this.
Sidewalls are a lot more high performance, they hold an edge better, are damper, and have better shock absorbing qualities. As a result, the vast majority of professional level skis are sidewall construction. Cap skis, on the other hand, are a lot cheaper to make, and are lighter, but aren't able to dampen vibrations as well, and can't really be repaired. Most mass produced beginner-advanced skis are cap. If you have the money, try to find a ski that's sidewall type, but if you find your perfect ski that just happens to be cap construction, don't hesitate; it doesn't make that big of a difference (although people like to make a big deal out of it). Cheers
