Hi Ant,
The links PJ gave offer lots of info, but hope I can offer some of my experience to help reassure you.
I've been doing CBT for a few months now (it doesn't normally take that long, but my therapist and I haven't quite found the right approach yet - that does make me worry I'm a hopeless case but that's a whole other post!). It can be either individual or in groups.
Individually, we've looked at a behavioural activitation approach, which in a nutshell looks at your day to day activities and helps you focus on unhelpful activites and trying to find the ones that promote a better mood. We've spent quite a bit of time on Mind Over Mood (an excellent book you can get at all libraries) which looks at situations which causes you anxiety, and helps you analyse any thinking errors (e.g. mindreading other's reactions, catastrophising about things going wrong) and develop insight into your feelings so you can deal with and challenge the thoughts that cause you anxiety. It basically involves homework in recording your thoughts and feelings and being helped by the therapist to explore and work on these in sessions.
Please kiv I'm not a psychologist so this a very laymans summary and your therapist will explain all this properly and all the other approaches available. Everyone is an individual and will need a different approach.
I'm going to be doing a group Mindfullness course soon, which as far as I understand it is about being present in the moment and having a true understanding of your emotions as they happen so you can better deal with them. If I've got this wrong, forumites, please correct me.
Having had traditional talking therapy in the past, I really like that CBT offers a really practical approach and encourages to understand how you think and live.
Hope that helps,
H