Continuous Integration is a software development practice which decreases integration time. In this practice, each member of a development team integrates his/her work so often in order to avoid an "integration hell". In each integration (usually at least once daily or even more frequent, which might be automated or activated manually), build is test to find integration errors as quickly as possible. If there are any errors , it will be easier to fix when all the members of the team have fresh knowledge and it will avoid an integration problem to grow if developers were unaware of it and continuing development.
In Continuous Integration, if possible, everyday commit is essential which means members need small cycles to complete and commit their code. Like a beer and chicken-wings, I think this is best achieved with another practice called scrum. Here is a link to a nice video which summarizes scrum technique.
Also, to make a good use of CI, you should have your unit tests with wide coverage.
Now, if you want to start your own Continuous Integration and Build Server continue with this link: http://continuum.apache.org/