A CDO squared is a CDO that is backed by other CDOs. It is an asset backed security that is backed by securities issued by CDOs.
The CDO squared it self will then issues several different classes of debt of varying seniority.
This makes the analysis of a CDO squared even more difficult than that of a CDO: to value a CDO squared one needs to analyse the risks of all the securities it holds, each of which is a different tranche (class of securities) of many different CDOs, and assessing how this risk is shared between the tranches of the CDO squared.