It's celebrated on October 31st. When the Celts lived in Ireland, Britain and France over 2,000 years ago, they had a pagan agricultural festival on this day. They believed that the dead came back, so they used to light large bonfires to ward off evil spirits. Irish, Scots and other immigrants brought this tradition to North America in the 19th century.
The word "Halloween" is a shortened form of "All Hallows' Eve", meaning the evening before "All Hallows' Day" or "All Saints' Day", which is November 1st.
In the past, poor people went around asking for food in exchange of a prayer for the dead. Nowadays, this tradition was changed. In Ireland and the United States, children dress up and go door-to-door collecting candy. This is called "trick or treat", meaning that if they don't receive candy they will make a trick or a spell.
The carved pumpkin has become the symbol of Halloween. It's called "Jack-o-lantern", from an Irish legend about a man called Jack. He was a lazy farmer, who tricked the devil and refused to free him unless he agreed to never let Jack go into hell. So, Jack started to wander the Earth looking for a resting place, carrying a carved turnip with a candle inside.