Prolactin is a hormone produced by the anterior pituitary gland (a small gland in the base of the skull, attached to and controlled by the brain but part of the endocrine system). The hormone stimulates milk production in women who have given birth (and also some transsexuals, so expect interesting side effects if you're transsexual and your levels go too high, such as Lactation).
It also stimulates progesterone manufacture in the corpus luteum of the ovaries and in men with high enough doses, the testes.
An increase in prolactin levels can be an indication of prolactinoma or tumour of the pituitary. In this circumstance, cross-hormone therapy is often contraindicated as estrogen can worsen the condition.