Astrology is tied in with the classical elements; earth, air, fire and water. Each sign is supposedly governed by a particular element;
Earth- Taurus, Virgo and Capricorn
Air- Gemini, Libra and Aquarius
Fire- Aries, Leo and Sagittarius
Water- Cancer, Scorpio and Pisces
Each element has various esoteric traits associated with them, and in astrology they also govern personality traits. For example people born under a water sign are predisposed to being emotional, sensitive, artistic and spiritual. Air signs are meant to be more logical, intellectual, discerning etc..
These are fairly general however, I'm sure not every water/fire/air/earth sign is typical to his or her supposed traits, and you'd really need a full birth chart to be more accurate. Any decent book on astrology should be able to tell you more.
My opinion isnt that just because your star sign is a water sign, you have a 'affinity' for water. I believe your element is the one you feel most connected to, and is most connected to you. Your favorite colour, your personality, your hobbies.
If your a typical stereotype for your star sign, you suit the personality and traits associated with that sign. But that doesnt mean your element is your star sign's element!
I agree with fallenstar. Im an aries, so supposedly i have a fire element affinity right? Wrong, my main element affinty is water. Though i have one for fire but it just isnt as strong as my water one. Though i do believe your sign just encorpartes it's element in some way.