CDO is mostly used for email. It allows you to not only use the outlook objects (like the Outlook.Application object) or send mail (like MAPISession and MAPIMessages controls) but also access objects from an exchange server. It is very usefull if you want to access your companies global address list.
From MSDN:
CDO
(Collaboration Data Objects) A technology for building messaging or collaboration applications. In versions previous to 1.1, CDO was called OLE Messaging; in version 1.1 it was called Active Messaging. It is designed to simplify the creation of applications with messaging functionality, or to add messaging functionality to existing applications.