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 in a related topic. You can create a corporate curriculum if you want your employees to get a more comprehensive skill set on a topic.
When you enroll in a Curriculum you will automatically get enrolled in all it's courses. 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 courses it includes and the total progress on the curriculum.
If you were assigned with a course through a curriculum assignment, once your Admin/ Training Manager/ Course Creator or Instructor removes it from the curriculum, you will be automatically unassigned from this course. However, if this course was directly assigned to you or if you got this through another curriculum, you will continue to be enrolled.