The president-elect was referring to a 35-page dossier of lurid details of his alleged sexual misconduct in Russia, worked up by a former British spy. A two-page summary of the 35 pages had been added to Trump's briefing by the CIA and FBI — and then leaked to CNN.
This is "something that Nazi Germany would have done," Trump said. Here, basically, is the story.
During the primaries, anti-Trump Republicans hired the ex-spy to do "oppo research" on Trump, i.e., to dig up dirt.
The spy contacted the Russians. They told him that Trump, at a Moscow hotel in 2013, had been engaged in depraved behavior, that they had the films to blackmail him, and that Trump's aides had been colluding with them.
When Trump won the nomination, Democrats got the dossier and began shopping it around to the mainstream media. Some sought to substantiate the allegations. None could. So none of them published the charges.