EPSG stands for European Petroleum Survey Group and is an organization that maintains a geodetic parameter database with standard codes, the EPSG codes, for coordinate systems, datums, spheroids, units and such like. Additionally, this database contains the parameters for these objects or - if they cannot easily be expressed as values - at least references to where such parameters can be found.
Every geographic object (coordinate system, spheroid, unit etc.) gets assigned a unique number. The database is under active maintenance.
The coordinate system with its EPSG code is usually stored in the input file (GeoTIFF) and is read automatically when you create a terrain in Virtual Surveyor. The number marked in yellow below is the EPSG code for the UTM Zone 32 projection.
An online database with all cooordinate system and its EPSG code can be found online on http://spatialreference.org.