CBT is specifically designed to change your thinking processes. The idea behind it is that it isn't the events and circumstances around you that determine how you feel and act, but how you think about those things. The authors of cognitive theories believe that thought determines feelings and behavior. Some authors allow that feelings and behavior also alter each other, and your thoughts. It works by looking at the distortions or irrational thoughts that makes us feel depressed or anxious. If you can see that your thoughts are distorted and mixed up than you can change your thinking processes and also how you feel and act.

As in any therapy, the therapist can't change you - you have to do that yourself. But change is the goal and the therapist helps you to know how to change your thought processes (in this theory), etc.

CBT also adds to the cognitive part with behavioral techniques like you mentioned - relaxation, etc. CBT can be used along with other theories, but it is very different from psychodynamic approaches, because CBT doesn't deal with the past and childhood stuff.

CBT (particularly the cognitive part) is what I'm working on in the cognitive distortions and screwy thinking thread. There are several threads here about CBT, including the list of cognitive distortions above.