What does "class :" mean in C++?

It is an unnamed class, and the colon means it inherits privately from sample. See it like

class Foo : private sample
{
    // ...
};

Foo x;

I think that is defining an unnamed class deriving from sample. And x is a variable of that unnamed class.

struct sample{ int i;};

sample f() 
{
  struct : sample 
  {
    // there were some members declared here
  } x;
  x.i = 10;
  return x;
}
int main() 
{
        sample s = f();
        cout << s.i << endl;
        return 0;
}

Sample code at ideone : http://www.ideone.com/6Mj8x

PS: I changed class to struct for accessibility reason!

That's an unnamed class.

You can use them e.g. to substitute for local functions in pre-C++11:

int main() {
    struct {
        int operator() (int i) const {                 
            return 42;
        }
    } nice;

    nice(0xbeef);
}

The colon followed by sample simply means derive from sample using default inheritance. (for structs: public, for classes: private)