It's a projection of positive energy, created from happy memories and hope, which protects the castor from Dementors. The Dementors try feeding on the positivity the patronus is made from but can't harm it because it can't feel sadness/emotional pain.
The Patronus Charm (Expecto Patronum) is an immensely complicated, very difficult spell that evokes a partially-tangible positive energy force known as a Patronus (pl. Patronuses ) or spirit guardian. The charm was primarily designed for defence against Dementors and Lethifolds, against which there is no other protection. Albus Dumbledore, however, invented a means of using one's Patronus as a messenger to other witches and wizards, and this is the method of communication that the Order of the Phoenix uses.
