A cereal mash is used to gelatinize starches in unmalted grains in order for the conversion enzymes to gain access to them. Every grain has a different gelatinization temp, and often that's higher than the mash temp, so you need to gelatinize separately.

Basically, you boil the grains (rice, corn, etc.) for 10 or 15 minutes before adding them to the mash. Using about 10% of your base malt in the cereal mash helps it from becoming too gummy, but then you need to make sure to do a saccharification rest on the way to boiling. All of that is why we suggest avoiding cereal mashes wherever possible. Many of the adjunct grains Midwest sells are flaked. The flaking process steams the grains which gelatinizes the starches before they're rolled into flakes. No cereal mash required.