If your visa application, made either within or outside the UK, is refused you may have the right to challenge the decision by Administrative Review. All points-based system applications (Tier 1, 2, 4 and 5) have the right to Administrative Review if refused, and a few other visa types do as well.
In the Administrative Review process you, or your lawyer, fills in a form and writes grounds explaining why you think that the decision was wrong or unlawful. The Administrative Review application is submitted to the Home Office and a Home Office caseworker (not the same caseworker who made the original decision) looks at the application and decides whether they agree that the decision was wrong or not.
If they decide that the decision was wrong then the decision is overturned and you will be granted your visa. If they decide that the decision was correct then the decision will stand.
You are not allowed to submit any new documents with the Administrative Review application unless the refusal decision made allegations about deception or dishonesty.
If your Administrative Review application is unsuccessful this is not necessarily the end of the road. It may be possible to challenge the decision further by way of Judicial Review with the Upper Tribunal.
If your visa application has been refused it is a good idea to get a reliable legal opinion about the prospects for success of Administrative Review. In some situations it might be a better option to submit a new application.