This is a typical citation to a UK government document. It is held in the UK National Archives, which was created in 2003 by merging the Public Record Office (PRO) with the Historical Manuscripts Commission. Note that the National Archives of Scotland and of Northern Ireland are separate institutions.
To find out more about a citation like this:
Public Record Office (PRO), London: CO 879/24/318, Rowe to Holland, 23 Feb 1888.
Go to http://www.nationalarchives.gov.uk/catalogue -- type "co 879/24" in the box on the left and click "Go to reference." Don't include the individual document number. You'll see that the document is part of "War and Colonial Department and Colonial Office: Africa, Confidential Print." You can also click on "Browse from here" to see more detail.
Now, check the tab for Colonial Office documents. You'll see that we own microfilm of all of CO 879. So to see this document, all you need to do is to go to Microforms Services on A floor with the call number. You'll have the document in your hands in no time!
The List and Index Society publishes printed guides to collections of British documents, including many from the UK National Archives. These guides can speed the work of identifying relevant documents within a larger collection. There are more than 300 volumes, and there is a list of all the volumes on their web site.
Princeton has a complete set. The volumes are a distinctive yellow color and most are shelved beginning at Firestone Oversize CD1042.A2 L5782q.