Your IT band is on the outer portion, or the lateral part of your thigh. IT stands for iliotibial band, and it goes from your hip, illium, to the lower part of the knee, tibia. The IT band can get very tight and cause a lot of pain in the knee and hip. Runners often get really tight IT bands when they increase their training. This video will show you some great ways to stretch your IT band.
The first stretch you can do standing. Find a wall to lean against, and stand sideways to the wall with your injured side towards the wall. Cross the injured leg behind the good side, and lean your hip towards the wall. Hold for 30 seconds, and do it three times. The next stretch will be lying down on your back. Grab a belt or dog leash and put it around your foot. Keep your leg straight and gently pull the leg across your body. Then turn onto your side with the injured leg on top. Pick up your leg and pull it back behind you. Then slowly drop your leg behind you and let it stretch.
The last stretch is a very intense stretch and will hurt some people. If you have a noodle or foam roll, lie on your side with the injured side down on the roll. Gently roll/pull your leg up and down from the hip to just past the knee.