Hollandaise, like mayonnaise, is an emulsion of egg yolks and butter or oil. What makes both of these sauces so tricky to prepare is that you're combining ingredients that don't naturally blend together. This is why they have a tendency to split and not emulsify.
The key things to remember when making hollandaise is that you must not over-heat it (that will cook the yolks) and that you should add the melted butter in a very slow trickle.
But don't worry if it does split, it's easy to bring back together again.