Callback functions are functions that receive messages from the operating system. They are functions that you implement in your application and that Windows calls if you have one defined. Like the WindowProc() function for processing windows messages in Win32 applications. You have to define that function so windows knows how to deal with messages it sends to your app. Some CALLBACK functions are mandatory like the WindowProc() function or some are ones you might implement if avaiable to achieve greater control over how your program operates in different situations in Windows. For example DirectX has a lot of CALLBACK functions you can implement to do different things when different things happen, but at the sametime you don't have to implement most of them if you don't need the extra functionality. CALLBACK functions are more or less slightly more advanced function pointers.
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