http://www.cpuid.com/softwares/cpu-z.html
Run this, then click on the "Caches" section and you should see a list from L1 and higher for the installed CPU.
For a better explanation of how this works, read here:
http://en.wikipedia.org/wiki/CPU_cache
In general, the critical data being worked on is in a small buffer, the L1 cache, then we have levels below that where the cache gets larger, but slower.
For example, some data might be on the slow hard drive, then we access it and it is moved into the main System RAM (sticks of memory on motherboard) for faster access. When the CPU finally starts crunching the numbers the data is moved into the CPU itself from the lower level cache (i.e. L4) then higher to the point that the calculation is complete.
This is a very simple explanation but I hope you find it useful.