Strictly speaking, it is a virtual machine, ie: it executes a special low-level language (similar to x86 ASM. CLI uses MSIL, JVM uses "byte codes") and translates them into the target machine's op-codes (x86, x86_64, ARM .. etc.) for execution on the host CPU.
It also manages marshaling (ie: correct handling and passing through of variables to native memory stack/heap) to allow function calls from inside the managed world to the outside OS on which the VM runs.
Practically though, neither the JVM nor the CLI alone are very helpful except for automated garbage collection and CPU-architecture-independence, but they are complemented by a large base library (the Java classes, or the .NET BCL) which allows you to do many platform-y things without having to call platform specific APIs and use marshaling manually for everything.
That's why there is a different Java Runtime Environment for each OS. Each one's JVM translates to a specific CPU arch, and uses different platform specific-APIs to accomplish what the unified base library exposes to you as a friendly API inside the managed world.
Hope that helps you.