5 Answers

 Depends on who you believe.  This is from http://en.wikipedia.org/wiki/Roswell_UFO_incident

The Roswell UFO Incident refers to the recovery of an object that crashed in the general vicinity of Roswell, New Mexico, in June or July 1947, allegedly an extra-terrestrial spacecraft and its alien occupants. Since the late 1970s the incident has been the subject of intense controversy and of conspiracy theories as to the true nature of the object that crashed. The United States Armed Forces maintains that what was recovered was debris from an experimental high-altitude surveillance balloon belonging to a classified program named "Mogul";^[1] however, many UFO proponents maintain that an alien craft was found and its occupants were captured, and that the military then engaged in a cover up. The incident has turned into a widely known pop culture phenomenon, making the name Roswell synonymous with UFOs. It ranks as the most publicized and controversial of alleged UFO incidents.^[2]

and to continue with Colleen's answer the Government hid the alien space craft aka UFO in a place known as Area 51

De De De De, De De De De.

Personally I think it,s a town in New Mexico.

I think it was a publicity stunt to get alien on board, so that everybody can make up there own theories about UFO's.