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Yes, it is a real thing. It is to encourage immigration from countries that have low immigration rates to the US. There are tens of thousands that are given each year. I want to say around 50,000. The idea is to increase the USA's diversity.
If you 'win' the lottery, you receive a 'Green Card' or permanent residency in the United States.
EDIT: True (via Hippietrail), you should be very careful. I believe Russia was on the list last year, but you must check that. Although Ukraine I know tops for number of lottery issues in Europe. Warnings about the program can be seen here.
The registration is here.