Paris Charles de Gaulle airport (I hate abbreviations) to Brugge requires 2 trains:
1) Charles de Gaulle airport to Brussels Midi
2) Brussels Midi to Brugge
Charles de Gaulle to Brussels Midi is a High Speed train (branded as TGV or Thalys), and that must be booked. When you buy the ticket it is for a specific train and you are allocated seats when you buy the tickets. You can buy the tickets at Charles de Gaulle when you arrive, but that is expensive. The earlier you book the tickets the cheaper it is likely to be. But, once you have bought your tickets you cannot then change your mind, no refunds. So you run the risk of missing your train if your flight is late, and having to buy a new full price at Charles de Gaulle.
Brussels to Brugge is a Belgian Intercity train. No booking on these trains. Your ticket is valid on any train.
You do this as one booking, but you will only be allocated a specific train and seats on the train to Brussels.