Why cxd5 is a mistake?
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If you look at the position, black will have a big problem developing efficiently. Think about how you're going to develop all of your queenside pieces. I think the only option right now is to play ...d6, get that bishop out and play Nbd7 at some point. Now look what happens after 8. ... cxd5; 9. exd5. You can't move your d7-pawn, because of the pin. Now if 9. ... Nf6; 10. 0-0, 0-0 white can play 11. d6! That pawn is trouble, that pawn is a pain. You can now play Nc6 to develop that knight, but how are you going to ever develop Bc8? You'll need to play Bb6 away to some square, you'll need to play ...b6 and you'll need to play Bb7. How are you going to develop your queen with the pawn on d6 and your own pawn on b6? We'll need to shuffle even more pieces around. Basically your development will cost you a ton of time. White will have and keep a big lead in development for a long time. That's a problem in an open position. While you're dancing around with your pieces trying to finish your development, he can quickly arrange his pieces for an attack. To give you a sample of this:
8. ... cxd5
9. exd5; Nf6
10. 0-0, 0-0
11. d6, Nc6
12. Nc3, Bc5 (getting it out of the way for ...b6)
13. Bg5 and already there are threats like Nd5 or Ne4 to attack the pinned knight and force the doubled pawn and the open kingside on you.
Things like using the initiative and how to effectively use a lead in development are among the more difficult concepts in chess to fully understand. It requires a strong sense of possible tactical or strategical threats in a given position. Good play requires the attacker to use these threats while getting his own pieces in better positions. In the example above: Bg5 is a developing move, but carries the strategical threat of Ne4/Nd5. If the attacker does this the right way, the defender will only be able to spend his time on defending against the threat and not be able to actually make the developing move that he wants and needs to make.
Incidentally, don't play exd4 in the opening. It gives white the center and this is what can happen.