From L. Lyons, Contemporary Physics, 54, 1 (2013). "Conditional probability P(A,B) is the probability of A, given the fact that B has happened. For example, the probability of obtaining a 4 on the throw of a dice is 1/6; but if we accept only even results, the conditional probability for a 4, given that the number is even, is 1/3".

Christian Binek has posted a reasonable clarification of CPD. However, in system like liquids one finds several correlation function which basically deals with CPD. For example two particle correlation function g(r1-r2) defines the probability of finding particle 2 at r2 while particle 1 exists at r1.