Definition: Proprioception is the sense of knowing where a body part is in space. This can be a difficult concept to grasp until you lose it, because so much proprioception occurs without out conscious thought. Proprioception abilities can be injured when joints are injured, such as with an ankle sprain or ACL tear.
When you lose proprioception of an ankle joint after a sprain, you may complain of an unstable sensation of the joint -- that the joint may give-out. Proprioceptive exercises teach your body to control the position of an injured joint.
An example of proprioceptive exercises is the use of a balance board after an ankle sprain. The unpredictable movements of the balance board teach your body to react without having to think about these movements.
Sources:
Anderson O, "Proprioceptive training and injury prevention" Sports Injury Bulletin.
