The concept is simply an idea of what the Movie will be about. Generally a writer or director will develop a concept. From there, if funding is required, a "Spec Script" may be written and presented to a board. If the funding is given, a writer may be hired to develop the concept further and complete the script for further criticism from producers. Where funding is not required, a Director may choose to just write the script and shoot the final product.
Developing a concept can be one of the hardest steps in the film making process as a good concept can either make or break a movie, however there are few simple methods to developing an idea. One of these is dreaming. Lucid Dreaming is a popular method for coming up with story concepts as it allows the mind to freely develop and remember a scene. It is advised to write down dreams soon after you wake up to avoid forgetting.
Another method to coming up with scarier concepts is to change a small aspect of something common and similar to everyone. Steven Moffat commonly uses this method in his writing for Doctor Who. Some of his examples include;
The Weeping Angels - Statue of angels that only move when not being viewed.
The Empty Child - Removing a face with a gas mask is a simple way to remove someone's identity.
A concept is the only thing some directors need. For example, in Paranormal Activity, the Director (Oren Peli) opted for retro scripting, where the actors are given an outline of the plot and improvise dialogue. This is ideal for found footage as the actor is reacting to a scene and not memorize dialogue.