Hi!
I will try to describe you what are samples. My english is not so good, but I'll try to be useful..
First lets me describe what is sampler. Sampler is device that's able to record sounds from outside world (its usually done with microphone or cable...) and then converts these sounds to digital format that later can be playbacked on electronic instruments (such as keyboards). Sampler store records in its own memory or hard disk...
For example, your friend is guitarist and you want to play his guitar sound on your keyboard. First of all, you'll need a sampler. Your friend will play each note one by one. Sampler will record each note as separate audio file (C1, C#1, D1, D#1, E1, F1, F#1, G1......C2, C#2....B2,,,,D4....). When recording is finished you should edit these records (cut silence at beginning, do noise reduction and volume corrections etc...). After editing you will have new (edited) audio files. At this point you will define which file will be playbacked when you press desired key on keyboard. You can also assign several audio files to same key (note) depending on velocity (of course, your friend will need to play same note on his guitar with several velocity levels...).
Two kinds of samplers are known - software samplers (program on your computer like Steinberg's HALion) and hardware samplers (devices like AKAI S3000 or keyboards like Korg Triton). When all sampling processes are done, sampler will store an file (called program) that contains all parameters that you defined before.
Sampling is very complex process. Some instruments (like guitars) have sound that depend from many factors (position where player pick a string etc). Drums are also very difficult for sampling because its sound depend of dynamic, position where stick hits drum etc.
I hope that you understand "my" english.

Best regards!