Preconditioning is a technique (not peculiar to just the CG method) consisting in preconditioning the system that we want to solve, so that the new system has better properties (e.g. faster convergence to the solution of numerical methods, less cost of computation,...). The solution to the original problem can be easily contructed from the solution of the preconditioned problem. Usually the main aim of preconditioning is to reduce the condition number of the problem.