When a plane or other aircraft is being intercepted it means that the plane or other aircraft is being checked out in the air or is being stopped from doing something it shouldn't be doing.
The plane that is intercepting the other plane will go up as close and safely as possible and do like a road block but in the air.
They will then check to see what they are doing and possibly redirect the plane they intercepted to where they are supposed to be.
Intercepting is sometimes down in the Military and sometimes in severe cases an intercepting plane will shoot down the other plane to stop it from doing something really bad.