The Trinity is the Christian doctrine that God is a being who exists, simultaneously and eternally, as a mutual indwelling of three personalities the Father, the Son (incarnated as Jesus)  and the Holy Spirit.  Since the 4th century, in both Eastern and Western Christianity, this doctrine has been stated as "three persons in one God," all three of whom, as distinct and co-eternal beings, are of one indivisible Divine essence.  The doctrine also teaches that the Son himself has two distinct natures, one fully divine and the other fully human, united in a  hypostatic union.  Support of the doctrine of the Trinity is known as Trinitarianism. Most denominations within Christianity are Trinitarian, and regard belief in the Trinity as a mark of Christian orthodoxy.

Sites to check out for further information about this strange belief:

Believers in Christ who do not believe in the Trinity Understanding the Scriptures as Taught by the Apostles
Associated Bible Students refute the Trinity The Truth about the Trinity
The Lost Doctrines of Christianity Facts on the World's Religions