CP stands for Charge Points. You can find the gauge for this right under your mana bar at the bottom of the screen. It's 5 circles. Now if you look at your skills, you'll notice there are 2 basic kinds. Some skills have [CP recharge]; while others have [CP loss].
When you use skills that recharge points, you gain 1 CP. You can store up to 5. Then when you use a skill that uses up the CP, they get taken away. The CP loss skills will use the maximum number allowed that you have. Generally this is 3 CP, but some only go up to 2.
The skills that use up CP get a bonus from doing so. Most of the time this takes form in extra damage. Such as using 3 cp gives 44% more damage.
Now CP doesn't get lumped in with the skill. It actually counts as an extra debuff (like burn or poison), but only a single hit. For instance, if you attack an enemy with a cp using skill and do 1,000 damage, and it eats up 3 cp for the 44% more damage. They'll take a second hit after for 440 damage.