"Allah" (a contraction of "Al-" (the) and "ʾilāh" (god, deity), meaning "The Sole God") is the Arabic word for "God". It is most commonly interpreted to mean the god of the Koran and Islam, supposedly revealed to Muhammed.
However, the word is used by Arabs of other religions, as there is no other Arabic name for "God". Arab Christians refer to God as "Allāh Āl-ab" ("God the Father").
Remember you can't believe in Zeus, Odin and/or Celtic godess as well as believing in Allah, because Allah says "There is no other god than Allah". So yeah...