A cover letter is a brief one page letter sent along with the resume to potential employers. The purpose of the cover letter is to present yourself to potential employers and to let them know what position you are interested in and why you'd be a good fit to the position and company.
A hard-copy cover letter should be written in the business letter format, while an email should be sent in the same format but without the heading (your return address, their address, and the date).
Generally the cover letter will consist of three paragraphs. The first paragraph is an introductory one which introduces yourself. You want to include information on the position you are applying for, how you heard about it and why you are interested in the position and/or company.