Oxidation is a process in which a compound or element bonds with (more) oxygen(*2). In order to dissolve pyrite, you have to convert the insoluble sulfide to soluble sulfate. In your previous question you noted the oxidation reaction for pyrite:
$\ce{FeS2(s) + 15/4 O2(aq) + 7/2 H2O → Fe(OH)3(s) + 4H+(aq) + 2SO4^2-(aq)}$
You start with pyrite in the solid form, and you end up with sulfate (sulfur bonded to four oxygens). The leftover iron is deposited as insoluble iron oxides and hydroxides (basically - rust), and you're also generating a bunch of protons that make everything acidic (i.e. acid mine drainage).
*1 - strictly speaking, dissolution doesn't have to be a solid in a liquid. It can be anything in anything.
*2 - actually oxidation is an electron transfer reaction and can occur with no oxygen involved at all.