Usually refers to a person (mainly a woman) who does not wish to engage in any type of sexual behavior. A prude holds higher standards than most people. In some instances it can refer to someone who just doesn't do bad things or does not want to break the rules.
Mr. X: I can't get Jessica to have sex with me because she thinks abstinence is the only way and she'll only marry a Christian. She's such a prude!
Mr. X: Hey do you want to go see the new James Bond movie?
Mr's Y: Oh no thanks! I don't see pg-13 movies. Their too violent, sexual, and immoral.
Mr. X: You prude!