Cornstarch is a common thickening agent in the culinary arts, but if you add it directly to the liquid you want to thicken, it will clump up. To thicken a sauce or soup with cornstarch, you first need to make a slurry, which is a mixture of equal parts cornstarch and liquid (usually water, stock or wine).
It's important to make the slurry with cold liquid, and then add the slurry to the simmering sauce.
Cornstarch imparts a glossy sheen to the liquids it thickens, so it tends to be used more in sweet sauces and pie fillings than in savory sauces and gravies.