A Lie group is a continuous set of transformations that satisfy the group axioms. A good example for a Lie group is the symmetry group of the circle. A rotation by $5^\circ$ is a symmetry of the circle and a rotation by $0.00001^\circ$ is a symmetry, too. In contrast, the symmetry group of a square is not continuous. A rotation by $90^\circ$ is a symmetry, whereas a rotation by $5^\circ$ is not a symmetry.