"A lead" is your suspicion that something might be true, or might be happening, for example you hear about a job opportunity. It is similar to "a clue". Suppose your friend says: -I hear Microsoft is recruiting new people in X-town. Then, that could be a lead for you, if your looking for a job at Microsoft. You then follow up by calling Microsoft and asking bout job opportunities in X-town. Then you are following up on a lead.