CBT stands for cognitive behavioral therapy. The theory behind it is that our thoughts, emotions, and behavior are all linked and when one is disturbed, then it affects the other two.
For example, if you do poorly on a school test, you may think, 'I'm so stupid.' According to CBT, your emotions and behavior will follow that thinking, possibly creating depression (emotion) and poor study habits (behavior).
CBT is a form of psychotherapy devised to discover whatever maladaptive emotions or behaviors or thoughts you have so it can correct the genesis source, whereby correcting the other linking factors that affect your mental health.
It is a form of therapy that is highly regarded in the industry.
Edited to add:
Psychotherapy will yield the best results from a professional. The self-help books and tapes, while good, cannot match the experience and feedback from an interacting professional. JMO.