The second, more relevant question you may be asking is "What is this Cthulhu thing, anyway?" Well, that is the question that Lovecraft attempts to answer in this short story.
The Call of Cthulhu is broken down into three sections. The first is written as a journal (as most of Lovecraft's works are) written by one Francis Wayland Thurston. In seems that his great uncle recently died and has come to inherit the old man's papers and personal effects. In looking through these items, Thurston finds a sculpture of a hideous monster surrounded by strange symbols. It seems to have the body of a man, the head of an octopus (tentacles and all), and giant scaly wings and massive claws. A bit of exploring hints at curious events leading to mass hysteria in certain parts of the globe - people having horrible dreams and deranged thoughts.
The second section is in the form of a journal entry of Thurston's uncle in which he meets a peculiar man who tells a tale of cults performing horrible rituals and giving praise to a creature called Cthulhu, whose description matches that of the sculpture. They were overheard chanting the phrase "Ph'nglui mglw'nafh Cthulhu R'lyeh wgah'nagl fhtagn." (later translated to "In his house at R'lyeh dead Cthulhu waits dreaming".
In the last segment of the story, Thurston happens upon a transcript of a sailor's journal which describes a landing on a horrible slime covered island. The monstrosity they discover there could spell the destruction of the would.
An interesting thing to note here is that Lovecraft utilizes a mechanic called plausible deniability. That is to say that events occur in such a way that only a few people know of them. In this case, Thurston is the only man alive that knows about the lurking presence of this evil Cthulhu creature. By keeping the events in his stories a mystery to the outside world, Lovecraft increases the tension that the main character is feeling. There is no sense of "Oh, Cthulhu, I read about him in the newspaper." Each character is on his own as far as discovering the hidden truths of the universe. Lonecraft does this with many of his stories.
Read the full version of The Call of Cthulhu here.