It's when the other party tries to get you to use a domain valuation company before agreeing to complete the domain transaction (they usually have some kind of vested interest in the domain appraisal company). See more info here.
Yes Kuldeep, tell them you do the appraisal and deduct the amount from $2500 and send the rest to you
This scam is going on from the last 5-6 yrs, there must be people falling for it, otherwise it would have stopped long back. Its like the 419 scam in the domain world