Water of crystallisation means there is some number of water molecules present along the crystal. For ex in copper sulphate, it exist as CuSO4 . 5 H2O. The molecule is colour due to the presence of water of crystallisation and it gives blue colour. On heating the molecule it loses water and becomes anhydrous. At this condition it becomes colourless.
CuSO4 . 5 H2O ------> CuSO4 + 5 H2O