The CMB is composed of a bath of photons which were emitted following the big bang when the universe was still extremely hot and dense - so hot and dense that all the matter and radiation was bound together in a photon-baryon fluid. At this time, the universe was too hot to form stars, galaxies, or any other structure as we know it today. Although this fluid was incredibly uniform, there were tiny  (one part in 100,000) inhomogeneities in its density. As the universe expanded and cooled enough to form neutral atoms, the photons decoupled from the baryons. The baryons then proceeded to gravitationally collapse into potential wells formed by the denser regions initiating the formation of the first stars and galaxies while the photons were left to travel essentially inimpeded ever since, cooling with the expansion of the universe. Observed with microwave detectors, these photons (CMB photons) are effectively a shapshot of the very early universe.  Denser and less dense regions in the primordial mass distribution are reflected as hotter and colder regions observed with our detectors.  The way in which these inhomogeneities (anisotropy in the CMB) are distributed on the sky gives us insight into how the universe came to be what we observe today. By comparing these measurements with a set of structure formation models, we can estimate cosmological parameters such as the geometry of the universe, its composition, and its rate of expansion.
 

For an exellent  discussion of CMB theory pitched to many different levels, check out Wayne Hu's web site. For a brief review of recent CMB experiments see the a conference proceedings  (astro-ph/0112052) that I wrote up last fall.