The term shogun (kanji: 将軍) means "medieval military commander" in English. It is written しょうぐん in hiragana. It may also be rendered in English as shōgun or shougun. It's pronounced roughly like "show-goon".
This word can be dated back to the first historical work in Japanese literary history, the “Nihon Shoki” (or “Chronicles of Japan”). There, it refers to great military commanders. In the medieval period, the shogun were hereditary officials and the military dictators of feudal Japan.
The first kanji, 将, sho, means to lead and command, though it is rarely used in isolated form. It also designates military rankings: for example, taisho (大将, “great sho”), chujo (中将, “middle sho”), and shosho (少将, “small sho”) refer to the four-, three-, and two-star ranks, respectively.
軍, gun, means military. (Note it is pronounced “goon”, not like the unrelated English word “gun”!) Add the kanji for land, ocean, and the sky, and you get the words rikugun (陸軍, Army), kaigun (海軍, Navy), and kugun (空軍, Air Force).