Inertia is the resistance of the object to any change in its motion, including a change in direction. An object will stay still or keep moving at the same speed and in a straight line, unless it is acted upon by an external unbalanced force.
For example, a rubber ball will not start bouncing around unless someone picks it up and throws it. Basically, if an object is not moving, it will not start moving unless something else acts upon it. The same idea can be applied to motion: an object in motion will stay in motion unless some outside, opposing force acts upon it. Inertia is also called Sir Isaac Newton's First Law of Motion. The First Law of Motion says that:
Every body perseveres in its state of being at rest or of moving uniformly straight ahead, except insofar as it is compelled to change its state by forces impressed. [Cohen & Whitman 1999 translation]
This basically means:
Every object stays at rest or stays moving at the same speed unless something makes it change.
Albert Einstein developed the idea of Special Relativity based on Galileo's statement that it is impossible to tell the difference between a moving object and a stationary one without some outside reference to compare it against.