The act of pulling an aircraft's stick or yoke back toward the pilot raises the plane's pitch (i.e., raises the nose). In other words, a pilot "pulls up" to go up.
(That, of course, assumes sufficient power, since ultimately it is power, and not pitch, which controls an airplane's altitude. Increasing the pitch -- pulling up the nose -- with insufficient power will eventually cause the plane to stall, in other words, to go down -- violently -- rather than up.)
In any event, what happened here is that the local controller (known informally as the "tower controller") had some reason to ask you to execute a go-around; perhaps there was another plane which had not cleared the runway in time (for example, a plane which has just landed but did not exit onto a taxiway as quickly as the local controller expected, or perhaps a plane which had been cleared to takeoff but for some reason was still on the runway.) The controller was telling you to climb (rather than continue your descent to landing) and fly runway heading during your climb up 1500 feet, and then enter the traffic pattern again to start your landing pattern from scratch.
Needless to say, if this instruction caused you the slightest confusion, I hope this is something you encountered on a flight simulator game and not in real life!
As an aside, some aircraft have a ground proximity warning system (GPWS) with a recording which announces "WHOOP WHOOP, PULL UP PULL UP" when it detects an excessive descent rate or the ground approaching too closely. You may sometimes hear this recording from the cabin, usually when the pilots test the system prior to takeoff.