A cold call is a call of one or more raises by a player who has not yet put any money in the pot. The "cold" part means that he's calling both the original bet and the raise.
Alternatively, a player who calls one bet then faces a raise and reraise behind could cold-call two bets for the reraise. I'm not sure it's used like that but I think it is.
I'm speaking in limit-sounding terms, but you can use the term in no-limit too, just that the raises are variable in size.
Cold calling is almost always bad. If you don't have a clear reason why you're cold calling, consider folding or reraising.