Well, membranes are bilayers of lipids. A lipid has a polar head group and two non-poloar tail groups, the head is pointed outward to the water and the tails inward of the bilayer.
Cholesterol make the membrane more rigid and prevents phase transitions that could lead to crystallization. The reason that cholesterol does this, is because of its structure. Cholesterol has a very small head group and a bulky tail group with a rigid steroid ring structure, which cause it to be bend. This bending immobilizes surrounding phospholipids, thus making the membrane less fluid.
Eukaryotic plasma membranes (such as the human) contain especially large amounts of cholesterol, up to one molecule for every phospolipid molecule.
Cholesterol also aids in the formation of lipid rafts, which are microdomains also containing sphingolipids (with long saturated fatty hydrocarbon tails). These lipid raft domains are thicker than other parts of the lipid bilayer, and are thus able to accommodate other membrane proteins.