It's a formal letter that introduces yourself, your qualifications and background, in which you request to be considered for a given position. For something like an REU program (I'm assuming this is some kind of undergraduate research program) you would include information such as your program of study and the level you are at, any previous relevant experience, relevant skills, future goals and why you are interested in a given project. It should summarize the points from your CV that you wish to highlight.