CHRISTOPHER: Come on, what’s the book of your dreams right now?
RORY: Well, that would definitely be the Compact Oxford English Dictionary, but Dad –
Rory is referring to the Compact Edition of the Oxford English Dictionary, which reduces the print size of the Oxford English Dictionary so that the entire dictionary can fit into a single volume instead of multiple volumes. The print size is so small that a magnifying glass comes with it so you can read it, and it is necessarily a very large and heavy book, with its own slipcase.
It costs about $400 today, which is why it is just a dream to Rory (and why Christopher can’t afford it). As Christopher’s credit card is rejected, Rory must realise that his boasts of financial success are all empty.