CEGUI comes with several documents. Those are already included in the Windows SDKs, but if you are using CEGUI from SVN and/or from Linux or Mac OS, you can get the documentation as follows:
Goto the downloads page and look at the block for CEGUI itself (left upper one). Click on the 'stable release x.x.x' link. This takes you to the download area, where you should look for the 'CEGUI x.x.x Documentation Downloads'.
These files include the API reference (doxygen) as well as a reference to the Falagard skinning system.
Also, the API reference of the latest stable release can be found online.