What is an fgd?

It stands for forge/d game data, it has in it all the entities you need for whatever your working on.

In other words, if you are working on a tfc map then you need the tfc fgd. simple as pie.

Remember you only need one fgd per game / mod for what your doing, so for counter-strike you wouldn't get the hl.fgd and the cs.fgd you would just get the cs.fgd one.

You can find all sorts of fgd files on the mods site that you are working on.

Some can be found here.

And for a good mod site head on over to the Moddb site.