An F2 is a second generation like previously said. However, if the male you choose for the female is a sibling then the spawn you would have would be an F2 already.
Basically you take two unrelated fish and spawn them. That spawn is an F1 (basically there's no "inbreeding"). You take fish from the F1 spawn and either spawn them with siblings or back to the parents. The spawn resulting from those breedings would be F2s (at least that is how I understand it). And so on and so forth. You normally want to start looking for out crosses by F5 or F6 I believe.
I was going off plants for my comparison. Brain fart. Fish =/= plants. But yes - that sounds right.