The Casino is a place which you can enter inside and play the Casino games just like the GTA SA SinglePlayer version. You can play Poker, Black Jack, Rulltet, etc and win money (or lose money) playing them. Remember not to become a Compulsive Gambler!.
Where do I find the Casino in San Fierro?Edit
You will find the Casino pretty much in the middle of San Fierro, near the Gas Station.