priority queue in C++

I learn today in class that in order to dequeue from the priority queue, i will need to scan the max and take it out from the queue. My professor said that it may cause a hole in the queue. Can any body explain for me what that hole in the queue is, and how to avoid that problem? Thank you very much!
Why did not ask you this question to your professor?!
@vlad:
thanks for replying me.
the reason I bring my question up here is that I want to have a more visual answer (that I can read and think about it). I'm new to C++ (also an international student). Therefore, the last time I asked my professor, I didn't quite understand too much.
So, I think if I bring a C++ question up to a C++ forum, it will help me in learning C++ with more detail answers.
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