Think tanks are institutions that generate public policy research, analysis and activity. Their output can include publications, reports, blogposts and journals. They can be independent or affiliated with other organizations. Most are non-profit, but some are funded by governments, advocacy groups, or corporations, and may derive revenue from consulting or research work related to their projects. They can be non-partisan or partisan, so pay attention to the goals of the organization when using the information they generate. You may also want to read the Wiki entry for each think tank to get an outsider's perspective on their goals.
Note that some public policy reasearch (often considered "grey literature") is indexed in the PAIS public policy database.
Harvard's Kennedy School Library has a website with useful information on evaluating think tanks and their research. They have also created a custom Google Search of over 1200 think tanks: