Cynodonts (Beast-Teeth) were a suborder/clade of therapsid amniotes, appearing in the Middle to Late Triassic time period, around 256-250 MYA. Unlike the earlier therapsids, such as the gorgonopsids of the Late Permian, or even some of the therocephalians of the earlier Triassic, non-mammalian cynodonts were generally fairly small animals, not much bigger than modern house cats or medium-sized dogs. Mammals are actually dirived cynodonts.
As illustrated in Walking with Dinosaurs, ep. 1, cynodonts such as Thrinaxodon (identified later in The Complete Guide to Prehistoric Life encyclopedia), had a mixture of reptilian and mammalian characteristics - they were furry and whiskered, but still hatched their young from eggs, and lacked mammary glands. Modern animals - the platypus and the spiny anteaters (echidnas) still have these physical features, thus identifying these ancient protomammals as our direct ancestors, as opposed to their evolutionary cousins, the Dicynodonts("double beast-teeth"), also illustrated in that same episode (the cattle-sized Placerias), who were not.
It is still hard to identify exactly, when the non-mammalian cynodonts had died-out/became replaced by mammals proper - the fossils of both these groups in the Jurassic time period are quite rare and not preserved too well, but by the end of the Mesozoic, the non-mammalian cynodonts as well as the monotremes (like the Steropodon from ep. 5) were replaced by the marsupial (like the Didelphodon in ep. 6) and first placental mammals, who went-on to dominate the fauna in the Cenozoic.