A demesne is the term used for the land that the dynasty you play in Crusader Kings directly control. The size of the demesne is determined by the highest title your current ruler has (which is multiplicative factor in demesne size, for instance a Kingdom title gives you x0.4 more demesne you can control), and his intrigue rating.
A higher title and better intrigue naturally equal a bigger demesne size, but keep in mind that in war the more provinces you directly have under your control, the more territory an enemy can occupy and pillage. On the other hand, bigger demesnes for vassals mean they cannot automatically be occupied and annexed by invading forces, and gives you more time to save them, but also means less land for you to control).
For counties, it is very easy for an independent nation to be entirely under your control. But as your titles go up in power (and prestige), it will become harder for you to keep your entire nation in your own demesne, and you will eventually have to split off counties to keep the efficient number of counties in your demesne. When you exceed that number, you will actually be unable to get your actual income from all the provinces, usually suffering a 10% total decrease in income per extra county you control past your limit.