The term "coming out" in the gay community means to admit that you are gay. When a person tells you that he/she is glad you came out, then more than likely they knew this all along or suspected it, but out of respect for you would not say anything, they are glad that you finally admitted it to yourself and possibly others.
Another term is "coming out of the closet", I believe this term was penned because a closet is a place in a home where things are kept out of sight, so being "in the closet" or a "closet gay" is hiding your feelings and life style, to "come out" is to bring it out, not only to yourself, but the ones you love (friends, family, etc.)
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