What does it mean when someone says that someone is pronating their elbow or wrist, and is it good or bad.

Pronating is turning your wrist counter-clockwise, and some people believe it is good, but its just a theory.

My pitching coach wants me to pronate a little, but not too much, with my change up. He says that if I overpronate the change up the pitch will flutter and won’t really drop the way it is supposed to. He wants the ball to drop more in the vertical - I believe he calls this depth - instead of the horizontal.

Counter-clockwise for a RHP, clockwise for a LHP.

do u have to throw overhead to do pronation?

You can pronate from any arm angle.

Here is Roy Oswalt from over the top.

And Jay Marshall from sidearm/submarine.

how does pronating help you then

It protects the elbow and shoulder on follow-through when the elbow is extended.

Generally speaking most pitchers pronate naturally without trying to. You can overdo it. However, it isn’t unusual for a pitching coach to try to get a pitcher to turn the change over a bit more for added movement and to help reduce the velocity.