cling is ROOT's C++ interpreter. You usually don't see it, you don't invoke it - it's just there. It comes in two parts that are relevant for users: as ROOT's prompt and when you deal with libraries.
cling can also be used as a separate program, independently of ROOT. The page for standalone cling contains much more in-depth information about cling - far too detailed for regular users.
Another prompt interface for ROOT is PyROOT: it uses python on top of cling.