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There is a TGV (= "Train à Grande Vitesse" = "High-Speed Train") train station in terminal 2 of Charles de Gaulle airport. Please see the excellent guide "CDG Airport Terminal 2 to Paris" for a detailed description of how to get there, except that you are not going to Paris but to Lille. Thus you should follow "Railway station", not "Paris by train" (actually the two stations are one and only one, but platforms are separate).
If you do not have a ticket yet, you should buy one in the TGV Grandes Lignes part of the ticket office (right part) not in the Billets Ile de France part (left). Or you can buy one at the automatic ticketing machines, but be sure to use the yellow ones, not the blue ones, which are for trains to Paris. Choose Lille as a destination. All trains from Roissy Charles de Gaulle arrive at Lille Europe train station.
If you have bought a train ticket online before your arrival, and if you have a VISA or MasterCard with a security chip, then you can go to the yellow automatic ticketing machines and insert the VISA or MasterCard credit card with which you have paid online. Your ticket will be automatically delivered. Otherwise, you can also get your ticket at the ticketing office, with the receipt of your online transaction and, again, the credit card with which you have paid online.
If you have bought a plane ticket to XDB (Lille Europe train station) instead of CDG, then you must claim your train ticket with your electronic ticket at "TGV air" counter, the rightmost counter in the ticket office.
Your train ticket must be stamped before going onboard. Tickets issued less than one hour before departure will be automatically stamped.
Well, it depends. Buying your ticket in advance guarantees that you will have a seat in the train and may allow you to benefit from a lower fare. However, you should plan an ample margin between scheduled landing time and train departure, at least two hours. Indeed, baggage claim can sometimes take time at CDG and planes do not always land on time. Also take into account that there are different fare classes, with different exchange policies:
Reservations can be made here: http://www.tgv-europe.com/?rfrr=Homepage_body_Go to the english version. If you are outside Europe and speak English, click on the Other Countries English link in the bottom of the page.
Thus, buying your train ticket in the station is probably simpler for getting the right train but then you are not guaranteed to have seats in the next departing train. At times of the day where trains are frequent (one each half hour), this may not be a problem.