Cognitive Behavior Therapy (CBT) posits that our experience can be divided into three categories: thoughts, feelings, and behavior. You may have seen a diagram showing all three interlinked. Your behavior influences your thoughts and feelings, your feelings influence your thoughts and behavior, and so on. The primary interventions in CBT look at with what you think and what you do (thus, "cognitive behavior therapy"). The behavioral part has its roots in Skinner and the other behaviorists. Exposure therapy, for example, is a CBT intervention.
The cognitive piece gets the most attention in the CBT literature. The notion is that thoughts are the first stop in our reaction to any given experience. We think, then we feel and act. In CBT, special care is taken to examine those thoughts and determine if they hold up to close scrutiny. Is the thought rational, based in evidence, or not? Irrational thoughts usually are one of several types, included on the list of cognitive distortions (e.g, "mind reading," "fortune telling," "jumping to conclusions").
CBT is practical, interested in evidence, and, more than many other approaches to psychotherapy, has ample evidence showing that it is effective with a wide range of mental health issues (not least, anxiety and depression). For all of these reasons, you can be fairly certain you will encounter questions about CBT on the social work licensing exam.
For further review: Cognitive Behavior Therapy, Basics and Beyond, by Judith Beck.