Pegging is a sexual practice in which a woman penetrates a man's anus

Anus

The anus is an opening at the opposite end of an animal's digestive tract from the mouth. Its function is to control the expulsion of feces, unwanted semi-solid matter produced during digestion, which, depending on the type of animal, may be one or more of: matter which the animal cannot digest,...

 with a strap-on dildo

Strap-on dildo

A strap-on dildo is a dildo designed to be worn, usually with a harness, during sexual activity. Harnesses and dildos are made in a wide variety of styles, with variations in how the harness fits the wearer, how the dildo attaches to the harness, as well as various features intended to facilitate...

. The neologism "pegging" was popularized when it became the winning entry in a contest in Dan Savage

Dan Savage

Daniel Keenan "Dan" Savage is an American author, media pundit, journalist and newspaper editor. Savage writes the internationally syndicated relationship and sex advice column Savage Love. Its tone is frank in its discussion of sexuality, often humorous, and hostile to social conservatives, as in...

's Savage Love

Savage Love

Savage Love is a syndicated sex-advice column by Dan Savage. The column appears weekly in several dozen newspapers, mainly free newspapers in the US and Canada, but also newspapers in Europe and Asia...

sex advice column, held after an observation was made that there was no common name for the act.
In terms of physical pleasure, her genitals may get direct stimulation from the base of the dildo, or in the case of a double-ended dildo, from vaginal (or internal) penetration.