string is a standard C++ class. It's one of the provided, pre-defined types of objects you can use. To make use of it, you need to include the correct header file, like this:
#include <string>
As far as you're concerned, it's just another kind of object you can make use of, like int and double.
string is part of the std namespace. namespaces are a way of arranging types and functions into groups so that clashes (different types that happen to have the same name because they were made by different people) aren't a problem. You can read about namespaces here: http://www.cplusplus.com/doc/tutorial/namespaces/