In the context of the story, Socrates wishes to understand the pious because he himself is being brought to trial for "impiety", among other charges, and Euthyphro must, according to Socrates, understand what this is, because he is charging his own father with murder based on some reasoning that must only be due to the knowledge of what is pious.
Euthyphro defines piety as that which is loved by the gods. Socrates uses that quote, along with other quotes found in the story, to show that if the gods love something that does not necessarily make it pious, rather the gods would love it because it is inherently "pious". So there is some intrinsic thing that exists in the pious which is recognizable as being pious.
The greek word that is translated as pious has an implication of divine approval. Euthyphro's first definition of what is pious is basically like saying "that which the gods love is loved by the gods because the gods love it". This of course makes no logical sense.
There is much more to this subject, and people have written and argued on it for years, but I think you should read the text more thoroughly and then get back to us on what exactly you need help with..