Cognitive Behavioral Therapy is a brief, structured treatment based upon the theory that we develop dysfunctional or maladaptive thinking patterns that influence our moods and alter our behaviors in a combination that causes depression and anxiety. One of the first tasks is to identify the particular thoughts or themes of beliefs that may be instrumental in preventing you from enjoying your life and relationships. Through homework designed to "test" these beliefs and assignments chosen to challenge their accuracy, this vicious cycle can be interrupted.
Here is a brief discussion of CBT: http://en.wikipedia.org/wiki/Cognitive_behavioral_therapy