CDI is a Java EE specification. It specifies how things should be done, and which features must be provided, but it isn't actually a specific library or set of code. In order to use CDI, you will need to use a CDI implementation.
The reference implementation of the CDI spec is a set of libraries known as Weld. An alternative implementation of the CDI spec exists as Apache OpenWebBeans. Either of these implementations will be able to give you the features of CDI. If you are not using a Java EE application server that ships with one of these implementations, it will be up to you to select and install one of these implementations into your application or runtime.