The Work-in-progress limit is one of the core Kanban properties. It means that the number of issues your team is currently dealing with should be limited. The aim of such action is to reduce multitasking and avoid distraction connected with focusing on too many issues at the same time. It also helps with the measurement of the real amount of tasks that can be completed.
Remember that WIP limits should match your team's capacity. It is good to think how many people there are in the team, and how many things we want to work on at the same time.
WIP limits are set in the Agile board view in Options.
Please note that when you exceed a certain limit, Redmine will only notify you about it.