A Lexicon of Power is an ancient tome typically found near Inscription trainers. Guards can provide you with directions to the Lexicon. If not, ask for directions to an inscription trainer under the profession category.
Prior to patch 3.1.0, you were required to be located next to a Lexicon of Power in order to install a Glyph on your character's glyph sheet. This is no longer the case, as glyphs may be installed anywhere. It would appear that Lexicons of Power are therefore superfluous, though they remain in the game.