We obtained high-dispersion spectroscopy of CI Cam, the optical counterpart of XTE J0421]560, 2 weeks after the peak of its short outburst in 1998 April. The optical counterpart is a supergiant B[e] star that is emitting a two-component wind, a cool, low-velocity wind and a hot, high-velocity wind. The cool wind, which is the source of narrow emission lines of neutral and ionized metals, has a velocity of 32 km s~1 and a temperature near 8000 K. It is dense, roughly spherical, Ðlls the space around the sgB[e] star, and, based on the size of an infrared-emitting dust shell around the system, extends to a radius between 13 and 50 AU. It carries away mass at a high rate, yr~1. The hot wind M 0 [ 10~6 M _ has a velocity in excess of 2500 km s~1 and a temperature of 1.7^0.3 ] 104 K. From an ultraviolet spectrogram of CI Cam obtained in 2000 March with Hubble Space T elescope, we derive a di †erential extinction E(B[V ) \ 0.85^0.05. We show that the distance to CI Cam is greater than 5 kpc. Based on this revised distance, the X-ray luminosity at the peak of the outburst was L (2È25 keV) [ 3.0 ] 1038 ergs s~1, making CI Cam one of the most luminous X-ray transients. The ratio of quiescent luminosity to peak luminosity in the 2È25 keV band isThein the dense circumstellar wind from the sgB[e] star and burrows through the wind, producing little X-ray emission except for rare transient outbursts. This picture, a compact star traveling in a wide orbit through the dense circumstellar envelope of a sgB[e] star, occasionally producing transient X-ray outbursts, makes CI Cam unique among the known X-ray binaries. There is strong circumstantial evidence that the compact object is a black hole, not a neutron star. We speculate that the X-ray outburst was short because the accretion disk around the compact star is fed from a stellar wind and is smaller than disks fed by Roche lobe overÑow.