It's a very fine elastic mesh that covers the skimmer basket to catch very small debris before it goes to the filter. A pool store is about your only option. Some people use knee-high stockings, but I don't think the mesh is quite as small.
Can't imagine what our pool would look like without the skimmer screens/socks! Our ps sells them for about $10 for 3-pk. WalMart close in price....when they have them. Having only one usable skimmer, 3 socks will last all season.
If you can't find them, perhaps this will help: AquaChem has a site with a "Where To Buy" button here:
I use the knee highs and they work great, plus they're only 40 cents a pair. I get them at Walgreens. Since they're so cheap I change them every three or four days (on average) and just throw the used one away. They filter out a ton of stuff the skimmer won't catch. Use the whites ones, because the colored ones tend to bleed their color into the water.