The word "Yoga" comes from the sanskrit words for "yoke" and is intended to connote the process of yoking ( or fusing ) the individual consciousness with the natural mind state of the soul and of God. Yoga is a system of exercises and meditations to help control your body and your mind. It helps your breathing and focuses the alignment of your body.
While the name comes from a Hindu philosophy used to obtain spiritual insight and harmony, you are not required to "convert" to any religion or world-view to experience the benefits of Yoga. People of any faith can practice the awareness of their bodies and spirits given by the use of Yoga in order to feel closer to their god; and all other benefits associated with Yoga.
For more information, you might look it up in the wikipedia.