A content delivery network keeps copies of a site close to its visitors and stands between the site and the open internet.
A content delivery network is a geographically distributed set of servers that deliver content from a location near the user. The reference is Wikipedia's article on content delivery networks. A visitor in Taipei gets files from a nearby node instead of from a server on another continent.
Images, stylesheets, scripts and often whole pages that do not change per user. Personalised content still comes from the origin server, sometimes through the same network.
The "checking your browser" screen is the network deciding whether you are a person. It is more likely on shared networks, VPNs and unusual browsers.
A CDN is usually worth having. Learn how to purge its cache, and know which settings are doing the protecting, before the day you need them.