125 BPM means 125 beats every minute: one beat every 0.48 seconds (480 ms), or 2.08 beats a second. In classical terms it is Allegro, fast and bright (120–155 BPM).
You often hear tempos around 125 BPM in dance pop, disco, house and marches. The metronome above is already set to 125 BPM in 4/4: press Start, and change the time signature, accents, subdivisions or sound if your song needs it.