Orthogonal Wavefunctions
The notion of orthogonality in the context of the question referrers to the very well-known general concept of linear algebra, the branch of mathematics that studies vector spaces. Instead of going deep into the mathematics (that requires at least 50 textbook pages) let's just clear some OP's doubts.

First, a small (but important) correction: two wave functions $\psi_1$ and $\psi_2$ are called orthogonal to each other if
$$
  \int \overline{\psi}_1 \psi_2 \, \mathrm{d} \tau = 0 \, ,
$$
where the first function is complex-conjugated as indicated by a bar on top of it. Wave functions are complex-valued functions and complex-conjugation of the first argument is important.1 

So, yes, orthogonality is a not a property of a single wave function. It either refers to a pair of them being orthogonal to each other as described above, or, in general, to a set of them, being all mutually orthogonal to each other, i.e. to a set $\{ \psi_i \}_{i=1}^{n}$ such that for any $i \neq j$
$$
  \int \overline{\psi}_i \psi_j \, \mathrm{d} \tau = 0 \, .
$$
In the last case it is said that the whole set $\{ \psi_i \}_{i=1}^{n}$ is orthogonal.



1) More precisely, one of the two functions has to be complex-conjugated in this expression, where which one is the matter of convention: in physical literature it is often the first function, while in mathematically oriented literature it is usually the second one.