What is CuCl · CO · 2 H₂O?
The compound is called copper(I) chloride dihydrate - carbon monoxide adduct. It is formed during the Gatterman-Koch reaction. 

Gatterman-Koch reaction is a reaction that produces aromatic aldehyde from aromatic hydrocarbons. The reagent used are carbon monoxide, hydrochloric acid and a Friedel-Craft catalyst like copper(I) chloride ($\ce{CuCl}$) or aluminium chloride ($\ce{AlCl3}$). So, the adduct is formed by the reaction of copper chloride and carbon monoxide during the course of reaction. If aluminium chloride is used, then a complex would be formed i.e aluminum trichloride complex, $\ce{[HCO(AlCl4)]}$.

To know more about the mechanism and role of reagents, see this previous question on chem.SE..

Other References


https://en.wikipedia.org/wiki/Gattermann_reaction
https://www3.aiche.org/proceedings/Abstract.aspx?PaperID=358705