Imagine you sitting at your desktop PC. Imagine you checking your inbox every now and then. It would involve you logging into your account, checking, etc. This is how you would do it if you gosub. Now, imagine for a moment, you have installed a widget like Yahoo messenger which tells you when you have received an email. This is similar to an interrupt. It lets you attend to your business without having to keep repeatedly checking your inbox.

Interrupts are triggered by events(in the case above, receipt of mail).

In the example you cited, the interrupt is triggered by the RB0 pin of the controller.

Once you understand On interrupt goto, look up Darrel Taylor's wonderful Instant Interrupts. I'm not good at linking threads, so please search it. It is much more powerful than the PBP ON INTERRUPT statement