I've heard this is quite dangerous but what is it? How does it happen?

Anaphylaxis is a severe allergic reaction that occurs rapidly and causes a life-threatening response involving the whole body. This reaction can lead to difficulty breathing and shock ultimately leading to death. The symptoms of anaphylaxis can vary. In some people, the reaction begins very slowly, but in most the symptoms appear rapidly and abruptly.
While some symptoms are life threatening, others are merely uncomfortable. Generally, a reaction must involve at least two different body systems, such as skin and heart, to be considered anaphylaxis. Act quickly if someone experiences the symptoms of an anaphylactic reaction. True anaphylaxis is a medical emergency and requires immediate treatment in an emergency department of a hospital, where the person can be watched closely and life-saving treatment can be given.

Prevention
Strictly avoid contact with the substance (allergen) that was the trigger.
If the trigger is a food, you must learn to read food labels carefully.
If the trigger is a drug, inform all health care providers of the reaction.
Insect stings are more difficult to avoid. Wear long-sleeved clothing outdoors.

Thanks for the information, my friend had been talking about it as she had been to hospital, I knew it was dangerous but I didn't think it was potentially life-threatening.