"0800 number" means a telephone number beginning with 0800; these numbers are free for the caller because the call is paid for by the company or organisation being called. It is one of many casual words teens pick up from friends, social media, music or sport, and on its own it carries no particular warning. If you hear your teen use it, it is fair to ask what they mean by it in their friend group, since meanings drift quickly. Asking out of curiosity rather than alarm tends to keep the conversation open and useful.