It's a hormone that is secreted naturally by your kidneys. It causes you to produce more red blood cells. The more red blood cells you have, the better you will perform at endurance sports.
If you live at high altitudes, where the percentage of oxygen is lower due to less atmospheric pressure, your body will use EPO to ensure your body is getting enough oxygen. That is the key principle behind "altitude training" and you are then free to compete at sea level with more red blood cells than you would normally have. It is not considered cheating, and many successful endurance athletes sleep is specialized chambers that have lower concentrations of oxygen to get the same benefit of training at altitude without leaving sea level.
Injecting EPO is another matter, entirely. You are not using natural conditions, and can give yourself a much higher dose of EPO than you would even if you could train at 30,000 feet (which you cannot; that is why oxygen masks are on each and every plane in case the cabin loses pressure). Some endurance athletes who abuse EPO (dope with it) ended up with red blood cell counts so high that they had to set alarms to wake them up in the middle of the night...so they could exercise. If they didn't, their red blood cell count grew so high that they were at risk of cardiac failure!
So, to answer your question more directly...it isn't a steroid that builds muscle mass or a drug that improves performance while it is in your body. It's a natural substance that can be abused by virtue of its effects on the body when abused.