If someone tells you to keep up the good work, that person is telling you to continue what you are doing. In addition, this statement is complimenting your efforts as good work.
Often, the work has not been complimented prior to saying the phrase, so it is both an urging and a compliment, at the same time.
Example: Janet's boss is pleased with the work she is doing. Her boss walks over and smiles, saying, "Keep up the good work, Janet." Janet knows her boss is pleased - and hopes that Janet can continue producing good results.