Simply put, a DCP is the digital equivalent of a 35mm film print. It is what you give to a commercial theater so that they can screen your movie on a digital (also known as "D-Cinema") projector. Like a 35mm print, a DCP is a world-wide standard. If you walk into any D-Cinema theater, anywhere in the world, they can play your DCP without a problem.
The DCP itself is composed of several computer files containing video, audio and subtitles (if needed) along with instructions for how to play them. It can be delivered to a theater on a standard computer hard drive, either USB or “CRU”. A CRU is basically just a hard drive in metal carrier. Either way the actual movie is the same.
Here is what a CRU looks like. This is how the major studios deliver their films to your local theater. Many independent filmmakers however will delivery their movie on a regular USB drive instead to save money. There is no quality difference either way.