PIMs stands for Penalties In Minutes. When someone on your team is given a penalty, they will be sent off for a certain number of minutes and this will be added to your PIM tally.
The best way to get PIMs fast is by having plenty of fights. Not only does a fight give you 5 PIMs, but because a player from each team was in the fight, you won't lose a team member (putting your opponents in power play) once play resumes. To maximise the amount of fights started, go into the Options menu > Gameplay > set the fighting slider to 100. Once a fight has started, to finish it quickly, hold either LT or RT so that your player loses balance and allow your opponent to win (it doesn't really matter who wins the fight).
You can check how many PIMs you have accrued by selecting (from the main menu) Features > Trophy Room > press Y to show statistics.