An SPF (Sender Policy Framework) Record is a TXT file which contains a list of hosts authorised to send e-mail on behalf of a given domain.
If you have issues with emails not sending (for example, after a customer confirms an order on your website and does not receive a confirmation email) it's likely your SPF record does not contain the correct hosts.
This is something that your domain provider will be able to help you set up. You can find the information needed on the Prospect Admin Portal, by going to Sites > DNS records, or by clicking this link.
Around halfway down the page are the instructions needed to get the SPF record updated. You need to ensure the SPF record contains include:sendgrid.net
This domain may change in the future so please ensure you refer to the DNS page on the Admin Portal.