Neurons are cells. Schwann cells are also cells. Schwann cells surround a neuron and basically work to keep them alive and functioning. There are two types - ones that produce myelin and ones that don't. Myelin is made up of protein and fatty substances.

Say this is a neuron:

O --------X

O is the cell body (where the nucleus is)

-------- is the axon

X is the axon terminal (the end)

Myelinated Schwann cells wrap around the axon of a neuron and form the myelin sheath along the length of an axon. They don't form as one long sheath, there's several myelinated segments along the length of the axon. Wrapping up the axon in this way increases the speed at which a nerve signal gets transferred from one neuron to the next -- this is needed for motor/sensory function so you can react quickly and appropriately in day to day life. For example, knowing instantly to take your hand away when you accidentally touch a hot stove with your bare hand.