Picky means that you are fussy. It is usually used in a negative sense to imply someone restricts too many options or only likes a very small amount of things, and that makes them difficult to deal with and hard to please.
For example, a "picky eater" might be a child that will only eat one or two foods, or dislikes almost everything. Someone could be "picky" about where they travel to, meaning they only like very specific places and won't go anywhere else. Sometimes you can also say that a business, for example, can "afford to be picky" - this means that they can be fussy without severe consequence to them or feelings of restriction, because they might have a lot of resources or have a very specific job with specific demands.