Close-up filters are pretty simple devices; essentially they work like reading glasses. Placed over the front of a lens, they act as a magnifier and effectively reduce the minimum focusing distance of the lens, allowing you to get much closer to a subject. Indeed, they're technically more like an additional lens than a filter, however they are used in the same manner as filters like polarisers and NDs, so they tend to get lumped in the same category. You might hear someone refer to "close-up lenses" or "macro filters"; it's likely they're referring to the same thing.