PR is strickly related to Google algorithm to weigh a particular website but it doesn't matter for other search engines like Yahoo and MSN. But since Google is a giant in SE war so people generally try to get better PR so that they appear in top results.

You can improve it by getting back-links from good sites but don't fall into the traps of link farms as they will affect your site's PR negatively.

I hope this helps.

Cheers