This is a concept that may be new to many players regardless of their background.
"Lady Callisto" of Abington gave a good explanation of how it works in-game, so I'll just quote her:
When you create your character, it's randomly "born" in a region of the kingdom of your choice.
If the region you're "born" in has a Local Lord or Lady, then you are auto-sworn to that person, since the region already has a Liege associated with it. You'll automatically be a Knight at this point.
If the region you're "born" in does not have a Lord (either by a lord not being appointed there, or the region losing it's lord somehow) then you are not associated or auto-sworn to someone, since there's not anybody to auto-swear to. You'll be labeled "Lord" (or if the programmers had genders correct, you'd be "Lady" as the case might be)
Knights generally can't re-swear to anybody, though Lords can, since either it'll be a first-time allegiance creation or a re-swear if the Liege you once had either is removed from the game or injured or stepped down from their position.
One Liege is not another
Let this not confuse newcomers into thinking they are knights already! Owing allegiance is not the same as swearing fealty. I just entered the Colonies and I absolutely had a Liege, received taxes, but I was a noble. Only after swearing the oath did I become a knight. I still have a Liege, but Message -> Hierarchy looks different and Politics -> View your current oath status clearly states I am a knight, no longer a noble.
[Answers.com] gives a wealth of background on the word. It goes back quite a way and has been applied in various ways historically, so it's no surprise that in-game it may be unclear what is happening at times.
Related words in English: [Allegiance], Ally, Loyal.
Not related, despite the similarities in spelling of related words: Alligator.