"Do you really wish to know?"
Spoilers from the books and/or adaptations to follow!
Caed Dhu is a forest in Angren, on the bank of the Yaruga, and east to Red Port. It is also the location of a druids' circle. In Elder Speech the phrase means Black Forest, or Black Grove.
Geralt's company wanted to visit it to search out the druids for information on Ciri's whereabouts.
While the druids originally lived in Caed Dhu, they were later forced to flee south to Loch Monduirn and, later, Caed Myrkvid.
- "Coed du" means Black Forest in Welsh. The Black Forest is a forested mountain range in southwestern Germany.