longtimelurker: A cockring is exactly as it sounds - a ring that goes around your cock (although some are designed to go around the testicles as well as the shaft).
Some just wear them for appearance, as it makes them 'stick out' that bit further, however their main use is to restrict the bloodflow from the penis back into the body when erect. The result of this is (theoretically) a harder and longer-lasting erection.
You should be able to get them in any sex shop or similar, although some people have improvised with curtain rings and the like (see elsewhere on the board). If you do make one for yourself remember that even though it may go on easily flaccid, you may well want to remove it when erect, so make sure it's not TOO tight!