Transports/gateways are services that allow XMPP users to communicate with users that are connected to other networks and protocols. Gateways exist for most popular networks, and Prosody works with all of them (via the XEP-0114 Jabber component standard).
The recommended gateway software to use with Prosody is Spectrum. Spectrum is based on libpurple, the same code that the Pidgin IM client is built on. This means that its protocol support is very broad and actively developed.
Spectrum has its own configuration guide, so don't forget to read it after you have installed Spectrum. You can also refer to the general Prosody documentation for adding external components. Spectrum's 'jid' and 'password' options must match the component name and password that you specify in Prosody's configuration.
An example gateway, icq.example.com might look like this:
Component "icq.example.com" component_secret = "verysecret"
[service] jid = icq.example.com password = verysecret server = 127.0.0.1 port = 5347