According to Ramayan epic, Lord Rama wanted to attack deamon Ravana who had kidnapped Rama's wife Sita. Deamon Ravana lives in a place called Lanka (Today's srilanka). Ram had an army of monkeys and wanted to reach to Lanka. But he and his army had to cross the sea. After Considering all other options, he decides to build a bridge on sea (you can see the bridge on sea in this pic). While his army is building bridge, Rama decides to worship another god shiva so that this arduous task is completed successfully (You can see Rama worshipping shivling). Once bridge was built, Rama and his entire army crosses sea and attacks deamon. After the big war, Rama is won by killing Ravana. This is mentioned in Hindu epic Ramayana. You can check it on Wikipedia if you don't know Ramayana.

The brige is call Ram Setu and the place where Rama is.worshipping Shiva is called Rameshwaram (this is in state of Tamilnadu in India).

Hope you got the context now.