Your CV should be accompanied by a letter of application, and these two items form a package. The letter has a number of purposes:
The introduction: In the introduction you should detail the job you are applying for, and, if relevant, the circumstances that have led to this (for example an advertisement, or the recommendation of an agency).
The body: The body of the letter provides you with an opportunity to present yourself to the employer:
The conclusion: The conclusion should round the letter off, leaving the reader with a positive image. It should sum up briefly the selling points made in the body of the letter, mention any items (including the CV) you are enclosing, and express willingness to provide any further information that the reader may want.
Download a sample covering letter
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See also: How to Write a Successful CV
For more advice on writing your CV or application letter see The Oxford Guide to Effective Writing and Speaking by John Seely.