The female genital piercing leighton mentions is a surface piercing above the actual genitalia, through the bottom of the mons veneris. Think of it as like a navel piercing, only about six inches further down. It starts off at the top of the clit shaft, goes under the skin for an inch or two, and then resurfaces directly above the first piercing, in the pubic mound. Unlike, say, a vertical clit hood piercing, it won't do much sex-wise, as it doesn't touch the clitoris and is just there to look pretty. According to BMEzine, it is 'anatomy dependent' (meaning that not every woman is a suitable candidate) and fairly rare.
From the pictures I've seen (Oh dear God, the pictures...), a Christina is generally done with a barbell. Whether it's a surface bar or a curved barbell depends on the anatomy of the woman.
Like many body piercings (madison, Prince Albert, et cetera) it takes its name from the first recorded person to have it.