Ply is another word for strand. The number of strands that are twisted together to form the yarn is equal to the number of plys.
If you untwist the end of most yarn, you will be able to count the plys. Wool-Ease is a 4-ply yarn; that is 4 strands form the yarn. However, do not rely on the number of plys to tell you the weight of the yarn.
For example, Jiffy, while a thicker yarn than Wool-Ease, has just 2 plys.