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It's a little cheesecloth or muslin bag with a drawstring top, or a piece of cheesecloth you tie with string, in which to put spices (such as a bouquet garni) that you will be immersing in cooking liquid. You can later remove the spice bag; the object is not to have peppercorns and stuff randomly floating around.
I'd think it's just a little muslin or mesh bag or sachet filled with various spices - kind of like a tea bag, that you can easily extract from your pot or other cooking vessel after the spices have infused whatever you're making. Not sure if that helps?
I think both of the above answers nailed it. A great substitute if you don't have one is diaper (burp) cloths. I don't use them with the kids anymore, but I kept them because they're about the same thickness as cheesecloth. I just cut them up with scissors and, as long as it wasn't used in tomato sauce or beet juice, you can just throw them in the washer and reuse them.