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.
For example, there may be a Server curriculum composed of different courses on customer service, seating charts, sidework, etc.
When you enroll in a Curriculum you will automatically get enrolled in all it's courses. Those courses appear then as single courses in your corporate course library (Me). 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.