Let's start with Wiki:
Confidence is trust or faith that a person or thing is capable. Self-confidence is having confidence in oneself.
"Capable of what?", you may well ask. I think it's the capability to do what's important to you well. If, for instance, you know that you're a great hockey player and that is the most important thing to you, you'll be brimming with confidence, even if you're crap at almost everything else because you know for sure that you're amazing.
I think confidence with women can be built from confidence in other areas. If you walk through a room thinking, "Wow. Check her out. I'll bet I could make her a cappuccino that would just blow her mind." you'll appear more confident than if you were thinking, "Jesus, I am such a dork. She is really pretty. Oh, shit! She looked at me! What do I do?"
How could anyone know what you're thinking, right? Body language. Don't dismiss it. Subtle facial expressions, the way you hold your shoulders- it all matters.