GitLab CI is a part of GitLab, a web application with an API that stores its state in a database. It manages projects/builds and provides a nice user interface, besides all the features of GitLab.
GitLab Runner is an application which processes builds. It can be deployed separately and works with GitLab CI through an API.
In order to run tests, you need at least one GitLab instance and one GitLab Runner.
To perform the actual build, you need to install GitLab Runner which is written in Go.
It can run on any platform for which you can build Go binaries, including Linux, OSX, Windows, FreeBSD and Docker.
It can test any programming language including .Net, Java, Python, C, PHP and others.