What does Uganda mean?

Uganda does not have a real meaning. It was the Swahili word used to refer to the traditional kingdom of Buganda in Central Uganda. 'U' is a Swahili prefix which indicates a nation. For example, Uingereza represents England. Therefore, Buganda was referred to by the coastal Arabs as Uganda and the name 'Uganda' was picked up by the British who colonized Uganda to refer to the entire country which did not only include Buganda but also other conquered kingdoms like Bunyoro, Toro and Ankole.
Just to answer your curiosity, Buganda means state of the Ganda people.