A course is a set of lectures that can consist of any type of content (e.g. video, documents, presentations, etc).
A curriculum is a group of courses usually on a related topic. You can create a curriculum if you want your employees to get a more comprehensive skill set on a topic or if you have a course in many different languages.
When you enroll in a Curriculum you will automatically get enrolled in all the courses that are relevant to you, based on the language setup of the curriculum. When you attend a course that is part of a curriculum it updates automatically your progress bar on the curriculum's page. So, a curriculum is actually an aggregator for the courses it includes. Every time you go on the curriculum's page you can see details about your progress on all the courses you are enrolled in and the total progress on the curriculum.