Turkeys are a family (Meleagrididae) of bird. They are something like a chicken but much bigger. Wild turkeys live in forests in North America and Central America. In the United States, people traditionally eat turkey on the holiday of Thanksgiving.
When people from Europe first saw turkeys in the Americas they thought the birds were a type of guinea fowl (Numida meleagris). This bird had been brought to central Europe from the country of Turkey. The name of that country stuck as the name of the bird. 
The confusion with the name is also seen in the scientific name: meleagris is Greek for guinea-fowl.
Media related to Meleagris at Wikimedia Commons