At its simplest, it is simply a mechanism that rebuilds your project whenever a check in is made into some revision control system (CVS etc). This can be extended though to include running tests, all the way through to generating a CD image, mounting it within VMs, installing the product and running full tests on it.
It has the simple advantage of highlighting when code changes break the system as early as possible. Not only does it detect breaks in the code, it highlights who caused the break. This psychological effect is very effective in encouraging good testing prior to check in!
